Random Covariance Model
This R package implements a random covariance model (RCM) for joint estimation of multiple sparse precision matrices.
| Function | Description |
|---|---|
randCov |
Implements the Random Covariance Model (RCM) for joint estimation of multiple sparse precision matrices. Optimization is conducted using block coordinate descent. |
bic_cal |
Calculates the BIC for the RCM. |
mbic_cal |
Calculates the modified BIC for the RCM. |
Install the latest version of the package from GitHub with the following R code:
if("devtools" %in% installed.packages() == FALSE) {
install.packages("devtools")
}
devtools::install_github("dilernia/rcm")
For a detailed simulation example for implementing the Random Covariance Model (RCM), see this link.