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DESP: Estimation of Diagonal Elements of Sparse Precision-Matrices

Several estimators of the diagonal elements of a sparse precision (inverse covariance) matrix from a sample of Gaussian vectors for a given matrix of estimated marginal regression coefficients. Moreover, a robust estimator of the precision matrix is proposed. To install package 'gurobi', instructions at http://user.gurobi.com/download/gurobi-optimizer and http://www.gurobi.com/documentation/6.0/refman/r_api_overview.html.

DESP.pdf