glasso-0.1.0: Graphical Lasso algorithm

Copyright(c) Kai Zhang
LicenseBSD3
Safe HaskellNone
LanguageHaskell2010

Algorithms.GLasso

Description

 

Documentation

glasso :: Int -> Vector Double -> Double -> (Vector Double, Vector Double) Source

glasso' Source

Arguments

:: Int

dimension of the matrix

-> [Double]

row-major correlation matrix

-> Double

LASSO parameter

-> ([Double], [Double])

estimated covariance matrix and its inverse