matSPACE: Sparse Partial Correlation Estimation for Matrix-Variate Data
Fits sparse partial correlation networks for matrix-variate
data by extending the SPACE joint partial correlation estimation
framework to a Kronecker-product covariance structure. All partial
correlations are estimated simultaneously via an L1-penalized
('lasso') shooting algorithm within a single optimization framework,
which preserves symmetry of the estimated network and avoids the
tuning-parameter selection difficulties of separate node-wise
regressions. Optional features include column reweighting, residual
variance re-estimation across outer iterations, and automatic
generation of a lasso penalty sequence for tuning.
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