Collection of Robust Covariance and (Sparse) Precision Matrix Estimators

Collection of methods for robust covariance and (sparse) precision matrix estimation based on Loh and Tan (2018) .


Reference manual

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0.1 by Yunyi Shen, 6 months ago

Browse source code at

Authors: Yunyi Shen [aut, cre] , David Simcha [cph]

Documentation:   PDF Manual  

GPL-3 license

Imports Rcpp, glasso, caret

Linking to Rcpp, RcppArmadillo

See at CRAN