shockSelect {shock}

Shock selection

Description

This function performs block-diagonal covariance selection for high-dimensional Gaussian graphical models.

Usage

shockSelect(expdata)

Arguments

expdata

matrix of data

Value

SHDJlabels

Vector of partition labels based on the slope heuristic dimension jump

SHRRlabels

Vector of partition labels based on the slope heuristic robust regression

capusheOutput

output of the kappa coefficient calibration capushe function

Examples

## load data to test 
data(dataTest)

## dimension of the dataset expdata
n <- dim(dataTest)[1]
p <- dim(dataTest)[2]

## perform partition of variables selection
## based on the slope heuristic
resShock <- shockSelect(dataTest)