Constrained L1-minimization for Inverse (covariance) Matrix Estimation

A robust constrained L1 minimization method for estimating a large sparse inverse covariance matrix (aka precision matrix), and recovering its support for building graphical models. The computation uses linear programming.


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install.packages("clime")

0.4.1 by Xi (Rossi) Luo, 10 years ago


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


Authors: T. Tony Cai , Weidong Liu and Xi (Rossi) Luo


Documentation:   PDF Manual  


GPL-2 license


Depends on lpSolve

Suggests lorec, scio


Imported by HDTSA, HDtest.

Depended on by DensParcorr, growthrate.

Suggested by lorec.


See at CRAN