sglasso (Q28584)
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Lasso Method for RCON(V,E) Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | sglasso |
Lasso Method for RCON(V,E) Models |
Statements
3 December 2023
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RCON(V, E) models are a kind of restriction of the Gaussian Graphical Models defined by a set of equality constraints on the entries of the concentration matrix. 'sglasso' package implements the structured graphical lasso (sglasso) estimator proposed in Abbruzzo et al. (2014) for the weighted l1-penalized RCON(V, E) model. Two cyclic coordinate algorithms are implemented to compute the sglasso estimator, i.e. a cyclic coordinate minimization (CCM) and a cyclic coordinate descent (CCD) algorithm.
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expanded from: GPL (≥ 2) (English)
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Identifiers
21 December 2023
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