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.


Reference manual

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1.1-10 by Khalid B. Kunji, 18 days ago,

Browse source code at

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.

Suggested by pulsar.

See at CRAN