hierband

R package hierband: Convex Banding of the Covariance Matrix. 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.

References in zbMATH (referenced in 1 article )

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  1. Bien, Jacob: Graph-guided banding of the covariance matrix (2019)