Covariance and Inverse Covariance Matrix Estimation Using Joint Penalty
Subset the data into K fold, training and test data.
tools:::Rd_package_title("JPEN")
JPEN estimate of inverse cov matrix
Tuning parameter Selection for inverse covariance matrix estimation ba...
JPEN Estimate of covariance matrix
Tuning parameter selection based on minimization of 5 fold mean square...
returns a vector of values of lambda for given value of gamma
Trace of matrix
A Joint PENalty Estimation of Covariance and Inverse Covariance Matrices.