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]