Algorithm based on fastclime package min \|Theta\|_1 subject to \|cov(X)%%Theta-Bmat\|_max <=lambda (if X is the raw sample) subject to \|X%%Theta-Bmat\|_max <=lambda (if X is the sample covariance matrix)

Algorithm based on fastclime package min \|Theta\|_1 subject to \|cov(X)%%Theta-Bmat\|_max <=lambda (if X is the raw sample) subject to \|X%%Theta-Bmat\|_max <=lambda (if X is the sample covariance matrix)

Usage

Myfastclime.s(X, Bmat, lambda = 0.1, scale = T, n)

Arguments

X

is SOMETHING

Bmat

is SOMETHING

lambda

is SOMETHING (default: 0.1)

scale

is SOMETHING (default: T)

n

is SOMETHING

Value

is a named list containing

• Theta.hat SOMETHING

• conv SOMETHING