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: .



No major changes since SCPME 1.0!

Reference manual

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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

Depends on Rcpp, RcppProgress, doParallel

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

Linking to Rcpp, RcppArmadillo, RcppProgress

System requirements: GNU make

See at CRAN