The varband package contains the implementations of the variable banding method for learning local dependence and
estimating large sparse precision matrix in the setting where variables have a natural ordering.
The details of the method can be found in
Yu, Bien (2017) Learning Local Dependence in Ordered Data (Journal of Machine Learning Research (2017), 18(42), 1-60).
varband is now on CRAN. To install varband, type in R console
install.packages("varband")To install varband from github, which is usually more up-to-date, type in R console
devtools::install_github("hugogogo/varband", build_vignettes = TRUE)Note that the installation above requires using R package devtools
(which can be installed using install.packages("devtools")).
An example of how to use the package to solve a simple problem is given in the vignette. To see the vignette, after installation, type in R console
vignette("varband-vignette")