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JPEN (version 1.0)

Covariance and Inverse Covariance Matrix Estimation Using Joint Penalty

Description

A Joint PENalty Estimation of Covariance and Inverse Covariance Matrices.

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Version

Install

install.packages('JPEN')

Monthly Downloads

134

Version

1.0

License

GPL-2

Maintainer

Ashwini Maurya

Last Published

September 16th, 2015

Functions in JPEN (1.0)

lamvec

returns a vector of values of lambda for given value of gamma
jpen.inv.tune

Tuning parameter Selection for inverse covariance matrix estimation based on minimization of Gaussian log-likelihood.
jpen.inv

JPEN estimate of inverse cov matrix
tr

Trace of matrix
JPEN-package

\Sexpr[results=rd,stage=build]{tools:::Rd_package_title("#1")}JPENCovariance and Inverse Covariance Matrix Estimation Using Joint Penalty
f.K.fold

Subset the data into K fold, training and test data.
jpen.tune

Tuning parameter selection based on minimization of 5 fold mean square error.
jpen

JPEN Estimate of covariance matrix