JPEN-package {JPEN}

Covariance and Inverse Covariance Matrix Estimation Using Joint Penalty

Description

A Joint PENalty Estimation of Covariance and Inverse Covariance Matrices.

Details

The DESCRIPTION file:

Package:	JPEN
Type:	Package
Title:	Covariance and Inverse Covariance Matrix Estimation Using Joint Penalty
Version:	1.0
Date:	2015-08-20
Author:	Ashwini Maurya
Maintainer:	Ashwini Maurya <[e-mail]>
Description:	A Joint PENalty Estimation of Covariance and Inverse Covariance Matrices.
Depends:	mvtnorm(>= 1.0-2), stats(>= 2.15.0),
License:	GPL-2

Index of help topics:

JPEN-package            Covariance and Inverse Covariance Matrix
                        Estimation Using Joint Penalty
f.K.fold                Subset the data into K fold, training and test
                        data.
jpen                    JPEN Estimate of covariance matrix
jpen.inv                JPEN estimate of inverse cov matrix
jpen.inv.tune           Tuning parameter Selection for inverse
                        covariance matrix estimation based on
                        minimization of Gaussian log-likelihood.
jpen.tune               Tuning parameter selection based on
                        minimization of 5 fold mean square error.
lamvec                  returns a vector of values of lambda for given
                        value of gamma
tr                      Trace of matrix

Author(s)

Ashwini Maurya, Email: [e-mail]. Ashwini Maurya Maintainer: Ashwini Maurya <[e-mail]>

References

A Well Conditioned and Sparse Estimate of Covariance and Inverse Covariance Matrix Using Joint Penalty. Submitted. http://arxiv.org/pdf/1412.7907v2.pdf

See Also

jpen,jpen.inv