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CVglasso: Lasso Penalized Precision Matrix Estimation
Estimates a lasso penalized precision matrix via blockwise coordinate descent (BCD). This package is a simple wrapper around the popular 'glasso' package and extends and enhances its capabilities. These enhancements include built-in cross validation and visualizations. See Friedman et al. (2008) <doi:10.1093/biostatistics/kxm045> for details regarding the estimation method.
Getting started
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Package details |
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| Author | Matt Galloway [aut], James Curran [aut, cre] |
| Maintainer | James Curran <j.curran@auckland.ac.nz> |
| License | GPL (>= 2) |
| Version | 1.0.1 |
| URL | https://github.com/jmcurran/CVglasso |
| Package repository | View on CRAN |
| Installation |
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