Shrinking Characteristics of Precision Matrix Estimators

Estimates a penalized precision matrix via an augmented ADMM algorithm. This package is an implementation of the methods described in "Shrinking Characteristics of Precision Matrix Estimators" by Aaron J. Molstad, PhD and Adam J. Rothman, PhD. The manuscript can be found here: .


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SCPME 1.0

No major changes since SCPME 1.0!

Reference manual

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install.packages("SCPME")

1.0 by Matt Galloway, 9 months ago


https://github.com/MGallow/SCPME


Report a bug at https://github.com/MGallow/SCPME/issues


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


Authors: Matt Galloway [aut, cre]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports stats, parallel, foreach, ggplot2, dplyr

Depends on Rcpp, RcppProgress, doParallel

Suggests testthat, knitr, rmarkdown, microbenchmark, glasso, pkgdown

Linking to Rcpp, RcppArmadillo, RcppProgress

System requirements: GNU make


See at CRAN