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An R package of Robust Selection algorithm for estimation of the graphical lasso regularization parameter.
You can install the released version of robsel from CRAN with:
install.packages("robsel")This is a basic example which shows you how to solve a common problem:
library(robsel)
## basic example code
x <- matrix(rnorm(100*5),ncol=5)
#Estimate lambda for glasso
lambda <- robsel(x, alpha=0.9, B=200)
lambda
#> [1] 0.1561845
#Use glasso directly with robsel estimate
glasso.model <- robsel.glasso(x, alpha=0.9)
glasso.model
#> $alpha
#> [1] 0.9
#>
#> $lambda
#> [1] 0.1596663
#>
#> $Sigma
#> $Sigma[[1]]
#> [,1] [,2] [,3] [,4] [,5]
#> [1,] 1.04954034 0.02769511 0.000000 -0.08435207 0.000000
#> [2,] 0.02769511 1.25358486 0.000000 -0.00222587 0.000000
#> [3,] 0.00000000 0.00000000 1.092117 0.00000000 0.000000
#> [4,] -0.08435207 -0.00222587 0.000000 1.12448050 0.000000
#> [5,] 0.00000000 0.00000000 0.000000 0.00000000 1.246764
#>
#>
#> $Omega
#> $Omega[[1]]
#> [,1] [,2] [,3] [,4] [,5]
#> [1,] 0.95913305 -0.02106219 0.0000000 0.07190696 0.0000000
#> [2,] -0.02106219 0.79817757 0.0000000 0.00000000 0.0000000
#> [3,] 0.00000000 0.00000000 0.9156528 0.00000000 0.0000000
#> [4,] 0.07190696 0.00000000 0.0000000 0.89469360 0.0000000
#> [5,] 0.00000000 0.00000000 0.0000000 0.00000000 0.8020765
#Using robsel with multiple confidence level alpha
robsel(x, alpha=c(0.1,0.9))
#> [1] 0.3266095 0.1571961
robsel.glasso(x, alpha=c(0.1,0.9))
#> $alpha
#> [1] 0.1 0.9
#>
#> $lambda
#> [1] 0.3179958 0.1588493
#>
#> $Sigma
#> $Sigma[[1]]
#> [,1] [,2] [,3] [,4] [,5]
#> [1,] 1.20787 0.000000 0.000000 0.00000 0.000000
#> [2,] 0.00000 1.411914 0.000000 0.00000 0.000000
#> [3,] 0.00000 0.000000 1.250446 0.00000 0.000000
#> [4,] 0.00000 0.000000 0.000000 1.28281 0.000000
#> [5,] 0.00000 0.000000 0.000000 0.00000 1.405093
#>
#> $Sigma[[2]]
#> [,1] [,2] [,3] [,4] [,5]
#> [1,] 1.04872328 0.028512174 0.0000 -0.085169133 0.000000
#> [2,] 0.02851217 1.252767801 0.0000 -0.002315537 0.000000
#> [3,] 0.00000000 0.000000000 1.0913 0.000000000 0.000000
#> [4,] -0.08516913 -0.002315537 0.0000 1.123663436 0.000000
#> [5,] 0.00000000 0.000000000 0.0000 0.000000000 1.245947
#>
#>
#> $Omega
#> $Omega[[1]]
#> [,1] [,2] [,3] [,4] [,5]
#> [1,] 0.8279038 0.0000000 0.0000000 0.0000000 0.0000000
#> [2,] 0.0000000 0.7082583 0.0000000 0.0000000 0.0000000
#> [3,] 0.0000000 0.0000000 0.7997144 0.0000000 0.0000000
#> [4,] 0.0000000 0.0000000 0.0000000 0.7795387 0.0000000
#> [5,] 0.0000000 0.0000000 0.0000000 0.0000000 0.7116965
#>
#> $Omega[[2]]
#> [,1] [,2] [,3] [,4] [,5]
#> [1,] 0.96003670 -0.02171539 0.0000000 0.07272214 0.0000000
#> [2,] -0.02171539 0.79872675 0.0000000 0.00000000 0.0000000
#> [3,] 0.00000000 0.00000000 0.9163384 0.00000000 0.0000000
#> [4,] 0.07272214 0.00000000 0.0000000 0.89545824 0.0000000
#> [5,] 0.00000000 0.00000000 0.0000000 0.00000000 0.8026025These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.