Displaying 2 results from an estimated 2 matches for "glasso".
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2011 Oct 19
1
Sparse covariance estimation (via glasso) shrinking to a "nonzero" constant
I've only been using R on and off for 9 months and started using the
glasso package for sparse covariance estimation. I know the concept is
to shrink some of the elements of the covariance matrix to zero.
However, say I have a dataset that I know has some underlying
"baseline" covariance/correlation (say, a value of 0.3), how can I
change or incorporate th...
2008 Feb 22
1
What exactly does rchkusr() do?
...alculations while
the processor executes the Fortran bit of the code.
Answers to any of the a, 1, 2 questions above is welcome.
And in case you are wondering:
- I am trying to link the Fortran to matlab so I can compare results
to other similar routines coded in matlab;
- This is in the glasso package by Friedman, Hastie, Tibshirani.
Thanks for any help.
Cheers,
Guilherme Rocha