Proper L2-penalized maximum likelihood estimators for precision matrices and supporting functions to employ these estimators in a graphical modeling setting. For details see van Wieringen & Peeters (2016)
The R-package rags2ridges performs L2-penalized estimation of precison (and covariance) matrices. The package contains proper L2-penalized ML estimators for the precision matrix as well as supporting functions to employ these estimators in a (integrative or meta-analytic) graphical modeling setting. The package has a modular setup and features fast and efficient algorithms.
The released and tested version of rags2ridges is available at CRAN (Comprehensive R Archive Network). It can be easily be installed from within R by running
If you wish to install the latest version of rags2ridges directly from the master branch here at GitHub, run
#install.packages("devtools") # Uncomment if devtools is not installeddevtools::install_github("CFWP/rags2ridges")
Note, that this version is in development and is different from the version at CRAN. As such, it may be unstable. Be sure that you have the package development prerequisites if you wish to install the package from the source.
When installed, run
news(package = "rags2ridges") to view the latest notable changes to rags2ridges.
For previous versions of rags2ridges, visit the archive at CRAN.
Relevant publications to rags2ridges include (ordered according to year):
Please cite the relevant publications if you use rags2ridges.