hierband (1.0)

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Convex Banding of the Covariance Matrix.

http://cran.r-project.org/web/packages/hierband

Implementation of the convex banding procedure (using a hierarchical group lasso penalty) for covariance estimation that is introduced in Bien, Bunea, Xiao (2015) Convex Banding of the Covariance Matrix. Accepted for publication in JASA.

Maintainer: Jacob Bien
Author(s): Jacob Bien <jbien@cornell.edu>, Florentina Bunea, and Luo Xiao

License: GPL-3

Uses: knitr

Released over 2 years ago.


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