Regularized sparse inverse covariance matrix estimation

Use Newton's method and coordinate descent to solve the regularized inverse covariance matrix estimation problem. Please refer to: Sparse Inverse Covariance Matrix Estimation Using Quadratic Approximation, Cho-Jui Hsieh, Matyas A. Sustik, Inderjit S. Dhillon, Pradeep Ravikumar, Advances in Neural Information Processing Systems 24, 2011, p. 2330--2338.


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install.packages("QUIC")

1.1 by Matyas A. Sustik, 8 years ago


http://www.r-project.org, http://www.cs.utexas.edu/users/sustik/QUIC


Report a bug at [email protected]


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


Authors: Cho-Jui Hsieh [aut] , Matyas A. Sustik [aut, cre] , Inderjit S. Dhillon [aut] , Pradeep Ravikumar [aut]


Documentation:   PDF Manual  


Task views: gRaphical Models in R


GPL-3 license



Imported by SparseTSCGM, scio, tsnetwork.

Depended on by MRCE, abundant.

Suggested by pulsar, stabs.


See at CRAN