Big Quadratic Inverse Covariance Estimation

Use Newton's method, coordinate descent, and METIS clustering to solve the L1 regularized Gaussian MLE inverse covariance matrix estimation problem.


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install.packages("BigQuic")

1.1-8 by Khalid B. Kunji, a year ago


https://www.r-project.org, https://www.cs.utexas.edu/users/sustik/QUIC http://glaros.dtc.umn.edu/gkhome/views/metis http://www.pcg-random.org/download.html https://gcc.gnu.org/projects/gomp/


Browse source code at https://github.com/cran/BigQuic


Authors: Khalid B. Kunji [aut, cre] , Cho-Jui Hsieh [ctb] , Matyas A. Sustik [ctb] , Inderjit S. Dhillon [ctb] , Pradeep Ravikumar [ctb] , Tuo Zhao [ctb] , Xingguo Li [ctb] , Han Liu [ctb] , Kathryn Roeder [ctb] , John Lafferty [ctb] , Larry Wasserman [ctb] , George Karypis [ctb] , Melissa O'Neill [ctb] , Richard Henderson [ctb]


Documentation:   PDF Manual  


GPL (>= 3) | file LICENSE license


Imports Rcpp, Matrix, scalreg

Depends on methods

Linking to Rcpp


Imported by bastah.


See at CRAN