Sparse Covariance Matrix Estimation

Direct sparse covariance matrix estimation via the covariance graphical lasso by Bien, Tibshirani (2011) using the fast coordinate descent algorithm of Wang (2014) .


Reference manual

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1.0.3 by Michael Fop, 6 months ago

Browse source code at

Authors: Michael Fop [aut, cre] , Hao Wang [ctb]

Documentation:   PDF Manual  

GPL-3 license

Imports Rcpp

Suggests MASS

Linking to Rcpp, RcppArmadillo

See at CRAN