DESP_SRL_B

The penalization parameter that promotes sparsity.

lambda

The solver.
 A string indicating the solver to use.
 <dl>
 <dt><code>"CD"</code></dt><dd>specifies the coordinate descent algorithm;</dd> <dt><code>"SCS"</code></dt><dd>specifies the free Splitting Conic Solver;</dd> <dt><code>"Gurobi"</code></dt><dd>specifies the commercial Gurobi solver;</dd> <dt><code>"Mosek"</code></dt><dd>specifies the commercial Mosek solver.</dd> </dl> The default is <code>"CD"</code>.

solver

Indicates whether a randomized algorithm (stochastic coordinate descent) have to be used when choosing the coordinate descent method, default FALSE.

Set the number of threads for parallel processing when choosing the coordinate descent method or the SCS solver, default 1.

nThreads

This function computes the coefficient matrix <code>B</code> estimate, column-by-column. The observations of the data matrix <code>X</code> are assumed to have zero mean.

Several estimators of the diagonal elements of a sparse precision
(inverse covariance) matrix from a sample of Gaussian vectors for a
given matrix of estimated marginal regression coefficients. Moreover, a robust estimator
of the precision matrix is proposed.
To install package 'gurobi', instructions at
http://user.gurobi.com/download/gurobi-optimizer and
http://www.gurobi.com/documentation/6.0/refman/r_api_overview.html.

DESP_SRL_B: Estimation of the coefficient matrix

Description

Usage

Arguments

Value

See Also