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.
|Author||Matt Galloway [aut, cre]|
|Maintainer||Matt Galloway <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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