# Software

## Featured!

`litr`

is an R package for writing R packages via literate programming. You define a complete R package in a single R markdown document. This enables a workflow for writing R packages that is probably very different from what you are used to.

## Covariance estimation

The `varband`

is an R package for learning local dependence in ordered data (such as data collected over time or along a genome). It estimates a lower triangular matrix with a variable bandwidth, leading to an easily interpretable view of the extent of the local dependence in the data.

## Prototype selection

## Interaction modeling

## High-dimensional time series

The `BigVAR`

is an R package for high-dimensional time series. It implements multiple convex-regularized approaches to estimating vector autoregressive models. This includes methods for adaptively learning the lag order and for incorporating exogenous time series.

[paper on HVAR] [paper on VARX-L] [CRAN] [github]

## Inferential tools

## Optimization-focused software

The `hsm`

is an R package for *hierarchical sparse modeling* (HSM). This includes a novel closed-form solution to the proximal operator of the latent overlapping group lasso in the case of a directed path graph HSM structure and an efficient algorithm, which we call “path-based block coordinate descent” for more general HSM structures.

The `CVXfromR`

is an R package that lets you call CVX (from Matlab) within R. CVX is a tool by Michael Grant and Stephen Boyd that makes it easy to solve general convex problems, and the syntax to input such problems is simple and straightforward.

[website]