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.


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install.packages("spcov")

1.01 by Jacob Bien, 7 years ago


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


Authors: Jacob Bien and Rob Tibshirani


Documentation:   PDF Manual  


GPL-2 license



See at CRAN