BigQuic: Big Quadratic Inverse Covariance Estimation

Use Newton's method, coordinate descent, and METIS clustering to solve the L1 regularized Gaussian MLE inverse covariance matrix estimation problem.

Package details

AuthorKhalid B. Kunji [aut, cre], Cho-Jui Hsieh [ctb], Matyas A. Sustik [ctb], Inderjit S. Dhillon [ctb], Pradeep Ravikumar [ctb], Tuo Zhao [ctb], Xingguo Li [ctb], Han Liu [ctb], Kathryn Roeder [ctb], John Lafferty [ctb], Larry Wasserman [ctb], George Karypis [ctb], Melissa O'Neill [ctb], Richard Henderson [ctb]
MaintainerKhalid B. Kunji <>
LicenseGPL (>= 3) | file LICENSE
Package repositoryView on CRAN
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BigQuic documentation built on July 8, 2020, 7:31 p.m.