CVglasso: Lasso Penalized Precision Matrix Estimation

Estimates a lasso penalized precision matrix via the blockwise coordinate descent (BCD). This package is a simple wrapper around the popular 'glasso' package that 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

Package details

AuthorMatt Galloway [aut, cre]
MaintainerMatt Galloway <[email protected]>
LicenseGPL (>= 2)
Version1.0
URL https://github.com/MGallow/CVglasso
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("CVglasso")

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CVglasso documentation built on May 2, 2019, 4:01 a.m.