Installation
About
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)
| github.com/gherardovarando/gclm | |
| Bug report | File report |
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Maintainer
| Maintainer | Gherardo Varando |