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.


Reference manual

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1.01 by Jacob Bien, 9 years ago

Browse source code at

Authors: Jacob Bien and Rob Tibshirani

Documentation:   PDF Manual  

GPL-2 license

Imported by KOBT.

Suggested by CovCombR.

See at CRAN