gclm: Graphical Continuous Lyapunov Models
Estimation of covariance matrices as solutions of continuous time Lyapunov equations. Sparse coefficient matrix and diagonal noise are estimated with a proximal gradient method for an l1-penalized loss minimization problem. Varando G, Hansen NR (2020) <arXiv:2005.10483>.
| Version: | 0.0.1 |
| Suggests: | testthat |
| Published: | 2020-06-04 |
| Author: | Gherardo Varando 
[aut, cre, cph],
Niels Richard Hansen
[aut] |
| Maintainer: | Gherardo Varando <gherardo.varando at gmail.com> |
| BugReports: | https://github.com/gherardovarando/gclm/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/gherardovarando/gclm |
| NeedsCompilation: | yes |
| Materials: | README |
| CRAN checks: | gclm results |
Documentation:
| Reference manual: | gclm.pdf |
Downloads:
| Package source: | gclm_0.0.1.tar.gz |
| Windows binaries: | r-devel: gclm_0.0.1.zip, r-release: gclm_0.0.1.zip, r-oldrel: gclm_0.0.1.zip |
| macOS binaries: | r-release (arm64): gclm_0.0.1.tgz, r-oldrel (arm64): gclm_0.0.1.tgz, r-release (x86_64): gclm_0.0.1.tgz, r-oldrel (x86_64): gclm_0.0.1.tgz |
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