rags2ridges: ridgePsign – R documentation

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ridgePsign

Ridge estimation for high-dimensional precision matrices with known sign of off-diagonal precision elements.

Description

Function that calculates the ridge estimators for high-dimensional precision matrices with known sign of the off-diagonal precision elements.

Usage

ridgePsign(
  S,
  lambda,
  sign,
  target = default.target(S),
  type = "Alt",
  method = "nlm",
  verbose = TRUE,
  ...
)

Arguments

`S`	Sample covariance `matrix`.
`lambda`	A `numeric` representing the value of the penalty parameter.
`sign`	A character indicating the required sign of the off-diagonal elements of ridge precision estimate. Must be either: "pos" (positive) and "neg" (negative).
`target`	A target `matrix` (in precision terms) for the ridge precision estimator.
`type`	A `character` indicating the type of ridge estimator to be used. Must be one of: "Alt", "ArchI", "ArchII".
`method`	A `character` : which optimization function should be used: `"nlm"` (default) or `"optim"` which refer to `nlminb` or `constrOptim`, respectively.
`verbose`	`Logical` indicator: should intermediate output be printed on the screen?
`...`	Additional arguments passed on to either `nlminb` or `constrOptim`.

Details

Modified version of the ridgePchordal-function, now the ridge precision matrix estimate has off-diagonal elements equalling zero or of the specified sign. The estimate is found by solving a constrained estimation problem. This is done numerically and employs the nlminb and constrOptim procedure of R. These procedures are initiated by the ridge ML precision estimate and its off-diagonal elements with the excluded sign set to (effectively) zero.

Value

The function returns a regularized precision matrix with off-diagonal elements of specified signed or zero.

Author(s)

W.N. van Wieringen.

Examples

# obtain some data
p <- 8
n <- 100
set.seed(333)
Y <- matrix(rnorm(n*p), nrow = n, ncol = p)

# obtain regularized precision matrix with off-diagonal elements of specified signed
ridgePsign(covML(Y), lambda=0.1, sign="pos")

rags2ridges

Ridge Estimation of Precision Matrices from High-Dimensional Data

v2.2.4

GPL (>= 2)

Authors

Carel F.W. Peeters [cre, aut], Anders Ellern Bilgrau [aut], Wessel N. van Wieringen [aut]

Initial release