RIDGEc {ADMMsigma} | R Documentation |
Ridge-penalized precision matrix estimation (c++)
Description
Ridge penalized matrix estimation via closed-form solution. Augmented from Adam Rothman's STAT 8931 code.
Usage
RIDGEc(S, lam)
Arguments
S |
sample covariance matrix (denominator n). |
lam |
tuning parameter for ridge penalty. |
Value
estimated Omega
[Package ADMMsigma version 2.1 Index]