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R package for learning local dependence in ordered data
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README.md

varband

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")
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