gforce.scio {GFORCE} | R Documentation |
Estimate the precision matrix with the SCIO estimator. This algorithm is due to Liu and Luo (2012). The implementation follows the active set strategy also used in the SCIO package.
gforce.scio(C, lambda, k = NULL, eps = 10^-6, max_iter = 10000, R_only = FALSE)
C |
a d x d numeric matrix. This is the matrix of which we seek the inverse. |
lambda |
a numeric. This is the sparsity penalty parameter. |
k |
an integer. Indicates the column of the inverse to compute. |
eps |
a numeric. A threshold used as a stopping criterion. |
max_iter |
an integer. The max number of iterations of the SCIO algorithm. |
R_only |
logical expression. If |
a d dimensional numeric vector that is the k
th column of the inverse of C
.
T. Cai, W. Liu and X. Luo. A constrained l1 minimization approach to sparse precision matrix estimation. Journal of the American Statistical Association, 2011.
C <- diag(5) theta_1 <- gforce.scio(C,0.01,1)