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DESCRIPTION
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DESCRIPTION
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Package: lrpsadmm
Type: Package
Title: Low-Rank Plus Sparse Estimation via Alternating Direction Method of Multipliers (ADMM)
Version: 0.2.0
Author: Benjamin Frot
Maintainer: Benjamin Frot <[email protected]>
Description: Fit the Low-Rank plus Sparse (LRpS) estimator using the Alternating Direction Method of Multipliers (ADMM). This model learns an inverse covariance matrix which is the sum of a sparse matrix and a low-rank matrix as suggested by Chandrasekaran et al (2012) (DOI:10.1214/11-AOS949). The package supports robust estimation via an estimator of the correlation matrix based on Kendall rank correlations. It includes functions to compute a whole regularisation path and to select tuning parameters with cross-validation.
Encoding: UTF-8
LazyData: true
RoxygenNote: 6.1.1
Imports: MASS,
RSpectra,
mvtnorm,
matrixcalc,
cvTools,
Matrix,
pcaPP,
RColorBrewer,
Rcpp (>= 1.0.0),
RcppEigen (>= 0.3.3.5.0)
LinkingTo: Rcpp, RcppEigen
License: MIT