decodePM {rDecode}

Implement DECODE for simple precision matrix estimation

Description

Implement DECODE to estimate a precision matrix of X. This implementation is used in Hadimaja and Pun (2018).

Usage

decodePM(X, lambda0 = NULL, ...)

Arguments

X

n\times p data matrix.

lambda0

number between 0 and 1. If NULL, will use \sqrt{2 \log{p}/n}.

...

additional arguments to be passed to general decode function.

Value

An object of class decodePM containing:

Omega

DECODE of \Omega.

lambda0

the lambda0 used.

X

data used.

theta

final \theta for each column.

lambda

final \lambda for each column.

total.iter

number of iterations until convergence for each column.

References

Hadimaja, M. Z., & Pun, C. S. (2018). A Self-Calibrated Regularized Direct Estimation for Graphical Selection and Discriminant Analysis.

Examples

# estimate the precision matrix of iris data
object <- decodePM(iris[,1:4], lambda0 = 0.01)

object
summary(object)

object$Omega