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SCPME (version 1.0)

Shrinking Characteristics of Precision Matrix Estimators

Description

Estimates a penalized precision matrix via an augmented ADMM algorithm. This package is an implementation of the methods described in "Shrinking Characteristics of Precision Matrix Estimators" by Aaron J. Molstad, PhD and Adam J. Rothman, PhD. The manuscript can be found here: .

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Install

install.packages('SCPME')

Monthly Downloads

5

Version

1.0

License

GPL (>= 2)

Issues

0

Pull Requests

0

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0

Forks

1

Maintainer

Matt Galloway

Last Published

August 13th, 2018

Functions in SCPME (1.0)

CVP_ADMMc

CV (no folds) ADMM penalized precision matrix estimation (c++)
denseQR

Generate dense matrices (via spectral decomposition)
ADMMc

Penalized precision matrix estimation via ADMM (c++)
CVP_ADMM

Parallel CV (uses CVP_ADMMc)
plot.shrink

Plot shrink object
print.shrink

Print shrink object
RIDGEc

Ridge-penalized precision matrix estimation (c++)
compound

Generate compound symmetric matrices
shrink

Shrinking characteristics of precision matrix estimators
data_gen

Normal regression data generator
dense

Generate dense matrices
tridiag

Generate tri-diagonal matrices
CV_ADMMc

CV ADMM penalized precision matrix estimation (c++)