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 ORCID iD [aut, cre, cph], Niels Richard Hansen ORCID iD [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

Downloads:

Reference manual: gclm.pdf
Package source: gclm_0.0.1.tar.gz
Windows binaries: r-devel: gclm_0.0.1.zip, r-devel-UCRT: 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-release (x86_64): gclm_0.0.1.tgz, r-oldrel: gclm_0.0.1.tgz

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