abglasso
Adaptive Bayesian Graphical Lasso
Implements a Bayesian adaptive graphical lasso data-augmented block Gibbs sampler. The sampler simulates the posterior distribution of precision matrices of a Gaussian Graphical Model. This sampler was adapted from the original MATLAB routine proposed in Wang (2012)
Adaptive Bayesian Graphical Lasso
This is the source code for the R package "abglasso". It provides a function, using a Bayesian graphical lasso MCMC sampler, to return the posterior distribution of:
- covariance matrices, and
- precision matrices
