Sparse Estimation of a Covariance Matrix

Provides a covariance estimator for multivariate normal data that is sparse and positive definite. Implements the majorize-minimize algorithm described in Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," Biometrika. 98(4). 807--820.

spcov

This R package implements the estimator introduced in Bien, J., and Tibshirani, R. (2011), “Sparse Estimation of a Covariance Matrix,” Biometrika.

The easiest way to install spcov is by using the devtools R package (if not already installed, open R and type install.packages("devtools")). To install spcov, type the following from an R console:

devtools::install_github("jacobbien/spcov")