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) .


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install.packages("covglasso")

1.0.2 by Michael Fop, 5 months ago


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


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


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp

Suggests MASS, mixggm

Linking to Rcpp, RcppArmadillo


See at CRAN