Covariance and Inverse Covariance Matrix Estimation Using Joint Penalty

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Documentation for package ‘JPEN’ version 1.0

• DESCRIPTION file.

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JPEN-package	Covariance and Inverse Covariance Matrix Estimation Using Joint Penalty
f.K.fold	Subset the data into K fold, training and test data.
JPEN	Covariance and Inverse Covariance Matrix Estimation Using Joint Penalty
jpen	JPEN Estimate of covariance matrix
jpen.inv	JPEN estimate of inverse cov matrix
jpen.inv.tune	Tuning parameter Selection for inverse covariance matrix estimation based on minimization of Gaussian log-likelihood.
jpen.tune	Tuning parameter selection based on minimization of 5 fold mean square error.
lamvec	returns a vector of values of lambda for given value of gamma
tr	Trace of matrix