https://github.com/cran/graphicalVAR
Tip revision: 19ab2d14a3bb5e3488ed946dc4191d32c64bcf52 authored by Sacha Epskamp on 19 June 2015, 00:00:00 UTC
version 0.1.3
version 0.1.3
Tip revision: 19ab2d1
Kappa.R
Kappa <-
function(beta, X, Y, lambda_kappa){
n <- nrow(Y)
SigmaR <- 1/n * t(Y - X %*% beta) %*% (Y - X %*% beta)
res <- glasso(SigmaR, lambda_kappa, penalize.diagonal = FALSE)
return(as.matrix(forceSymmetric(res$wi)))
}
