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) <doi:10.48550/arXiv.2005.10483>.
| Version: | 0.0.1 | 
| Suggests: | testthat | 
| Published: | 2020-06-04 | 
| DOI: | 10.32614/CRAN.package.gclm | 
| Author: | Gherardo Varando | 
| 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 | 
| Reference manual: | gclm.html , gclm.pdf | 
| Package source: | gclm_0.0.1.tar.gz | 
| Windows binaries: | r-devel: 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-oldrel (arm64): gclm_0.0.1.tgz, r-release (x86_64): gclm_0.0.1.tgz, r-oldrel (x86_64): gclm_0.0.1.tgz | 
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