Lasso Penalized Precision Matrix Estimation

Estimates a lasso penalized precision matrix via the blockwise coordinate descent (BCD). This package is a simple wrapper around the popular 'glasso' package that extends and enhances its capabilities. These enhancements include built-in cross validation and visualizations. See Friedman et al (2008) for details regarding the estimation method.


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1.0 by Matt Galloway, 3 years ago

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Authors: Matt Galloway [aut, cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports stats, parallel, foreach, ggplot2, dplyr, glasso

Depends on doParallel

Suggests testthat

Imported by GGRidge.

See at CRAN