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sigmahat
2011 Oct 19
1
Sparse covariance estimation (via glasso) shrinking to a "nonzero" constant
...axit, ww = ww, xx = xx, niter = integer(1),
del = double(1), ierr = integer(1), PACKAGE = "glasso")
ww = matrix(junk$ww, ncol = n)
xx = matrix(junk$xx, ncol = n)
if (junk$ierr != 0) {
stop("memory allocation error")
}
critfun = function(Sigmahati, s, rho, penalize.diagonal = TRUE) {
d = det(Sigmahati)
temp = Sigmahati
if (!penalize.diagonal) {
diag(temp) = 0
}
val = -log(d) + sum(diag(s %*% Sigmahati)) + sum(abs(rho *
temp))
return(val)
}
crit = critfu...