PDSCE (version 1.0)

PDSCE-package: Positive definite sparse covariance estimators

Description

A package to compute and tune some positive definite and sparse covariance estimators

docType

package

Details

ll{ Package: PDSCE Type: Package Version: 1.0 Date: 2012-08-23 License: GPL-2 LazyLoad: yes }

The main functions are pdsoft, pdsoft.cv, band.chol, and band.chol.cv.

References

Rothman, A. J., Levina, E., and Zhu, J. (2010). A new approach to Cholesky-based covariance regularization in high dimensions. Biometrika 97(3): 539-550.

Rothman, A. J. (2012). Positive definite estimators of large covariance matrices. Biometrika 99(3): 733-740