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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.
Getting started
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Package details |
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| Author | Matt Galloway [aut, cre] |
| Maintainer | Matt Galloway <gall0441@umn.edu> |
| License | GPL (>= 2) |
| Version | 2.1 |
| URL | https://github.com/MGallow/ADMMsigma |
| Package repository | View on CRAN |
| Installation |
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