Sparse Matrix Estimation and Inference

The 'sparseMatEst' package provides functions for estimating sparse covariance and precision matrices with error control. A false positive rate is fixed corresponding to the probability of falsely including a matrix entry in the support of the estimator. It uses the binary search method outlined in Kashlak and Kong (2019) and in Kashlak (2019) .


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install.packages("sparseMatEst")

1.0.0 by Adam B Kashlak, 4 months ago


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


Authors: Adam B Kashlak [aut, cre] , Xinyu Zhang [ctb]


Documentation:   PDF Manual  


GPL-3 license


Imports stats, glasso


See at CRAN