CV (no folds) RIDGE penalized precision matrix estimation (c++)
Cross validation (no folds) function for RIDGEsigma. This function is to be used with CVP_RIDGE.
CVP_RIDGEc(n, S_train, S_valid, lam, trace = "none")
n: sample size for X_valid (used to calculate CV_error)S_train: pxp sample covariance matrix for training data (denominator n).S_valid: pxp sample covariance matrix for validation data (denominator n).lam: positive tuning parameters for ridge penalty. If a vector of parameters is provided, they should be in increasing order.trace: option to display progress of CV. Choose one of progress to print a progress bar, print to print completed tuning parameters, or none.cross validation errors (negative validation likelihood)