Random Covariance Dynamic Model
This R package implements a random covariance dynamic model (RCDM) for joint estimation of sparse time-varying precision matrices.
Function | Description |
---|---|
randDynCov |
Implements the Random Covariance Dynamic Model (RCDM) for joint estimation of sparse time-varying precision matrices. Optimization is conducted using block coordinate descent. |
randDynCov_cluster |
Implements the Random Covariance Dynamic Model (RCDM) for joint estimation of sparse time-varying precision matrices with pre-defined clusters(knots). |
bic_cal_m |
Calculates the modified BIC for the RCDM. |
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("Jackie-Zhu17/rcdm")
For a detailed simulation example for implementing the Random Covariance Dynamic Model (RCDM), see this.