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) .


Reference manual

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1.0.0 by Adam B Kashlak, a year ago

Browse source code at

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

Documentation:   PDF Manual  

GPL-3 license

Imports stats, glasso

See at CRAN