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Estimation of covariance matrices as solutions of continuous time Lyapunov equations. Sparse coefficient matrix and diagonal noise are estimated with a proximal gradient method for an l1-penalized loss minimization problem. Varando G, Hansen NR (2020) <doi:10.48550/arXiv.2005.10483>.
Version: | 0.0.1 |
Suggests: | testthat |
Published: | 2020-06-04 |
DOI: | 10.32614/CRAN.package.gclm |
Author: | Gherardo Varando |
Maintainer: | Gherardo Varando <gherardo.varando at gmail.com> |
BugReports: | https://github.com/gherardovarando/gclm/issues |
License: | MIT + file LICENSE |
URL: | https://github.com/gherardovarando/gclm |
NeedsCompilation: | yes |
Materials: | README |
CRAN checks: | gclm results |
Reference manual: | gclm.pdf |
Package source: | gclm_0.0.1.tar.gz |
Windows binaries: | r-devel: gclm_0.0.1.zip, r-release: gclm_0.0.1.zip, r-oldrel: gclm_0.0.1.zip |
macOS binaries: | r-release (arm64): gclm_0.0.1.tgz, r-oldrel (arm64): gclm_0.0.1.tgz, r-release (x86_64): gclm_0.0.1.tgz, r-oldrel (x86_64): gclm_0.0.1.tgz |
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These binaries (installable software) and packages are in development.
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