ADMMsigma: Penalized Precision Matrix Estimation via ADMM

Estimates a penalized precision matrix via the alternating direction method of multipliers (ADMM) algorithm. It currently supports a general elastic-net penalty that allows for both ridge and lasso-type penalties as special cases. This package is an alternative to the 'glasso' package. See Boyd et al (2010) <doi:10.1561/2200000016> for details regarding the estimation method.

Package details

AuthorMatt Galloway [aut, cre]
MaintainerMatt Galloway <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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ADMMsigma documentation built on May 2, 2019, 6:23 a.m.