Source code for implementation of the JMMLE algorithm in paper:

Joint Estimation and Inference for Data Integration Problems based on Multiple Multi-layered Gaussian Graphical Models by Subhabrata Majumdar and George Michailidis

• JMLE.R: contains main functions for implementation: jmmle.1step() and jmmle(). Instructions inside.
• Generator.R: auxiliary functions for generating synthetic datasets.
• Objval.R: auxiliary functions for calculating objective function in each iteration.
• l1LS_Main.R: multitask regression wrapper for grpreg for calls inside each JMMLE teration.
• jsem.R: implementation of JSEM method (Ma, Michailidisims 2016) for lower-layer neighborhood coefficients estimation.
• sim_est_new.R: function to generate synthetic data, run JMMLE and generate performance metrics. Contains an example data setup.