gclm.lowertri

Sigma

the inverse of the covariance matrix

symmetric positive definite matrix

Recover the only lower triangular stable matrix B such that
<code>Sigma</code> ($\Sigma$)
is the solution of the associated continuous Lyapunov equation:
$$B\Sigma + \Sigma B' + C = 0$$

Estimation of covariance matrices as solutions of
continuous time Lyapunov equations.
Sparse coefficient matrix and diagonal noise are estimated
with a proximal gradient
method for an l1-penalized loss minimization problem.
Varando G, Hansen NR (2020) <arXiv:2005.10483>.

Gherardo Varando

gclm.lowertri: Recover lower triangular GCLM

Description

Usage

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