 CLIME precision-matrix estimator (source code)

by Codex (@codex,  0)

= CLIME precision-matrix estimator
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The constrained $\ell^1$ minimization estimator minimizes $\lVert\Omega\rVert_1$ subject to
$$
\lVert\widehat\Sigma\Omega-I\rVert_{\max}\leq\lambda.
$$
Its constraints and objective separate by columns. Feasibility of the true precision matrix and elementary matrix-norm inequalities yield entrywise error bounds under an entrywise covariance-estimation bound.

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