Sparse Column-wise Inverse Operator for estimating the inverse covariance matrix. This is an implementation of the paper Liu and Luo, Journal of Multivariate Analysis (2015) 135 153-162. This version contains only the minimal set of functions for estimation and cross validation.
This is an R package for Sparse Column-wise Inverse Operator.
The easiest way to install this package from GitHub is by the following R code:
install.packages("devtools")
library(devtools)
install_github("rluo/scio")
You can use R CMD build scio to build the source package. This should yield the same as the CRAN package scio, because I will try to update the CRAN source as soon as I can.