gforce.Gamma {GFORCE} | R Documentation |
In particular, it returns in diagonal form the estimator Γ used to construct the PECOK penalized covariance estimator.
gforce.Gamma(X, par = FALSE, fast_estimator = FALSE, R_only = FALSE)
X |
n x d matrix. Each row represents a realization of a d dimensional random vector. |
par |
logical expression. If |
fast_estimator |
logical expression. If |
R_only |
logical expression. If |
The estimator Γ as a d dimensional numeric vector.
F. Bunea, C. Giraud, M. Royer and N. Verzelen. PECOK: a convex optimization approach to variable clustering. arXiv:1606.05100, 2016.
dat <- gforce.generator(5,20,20,3) gam_hat <- gforce.Gamma(dat$X)