Estimates a penalized precision matrix via an augmented ADMM algorithm. This package is an implementation of the methods described in "Shrinking Characteristics of Precision Matrix Estimators" by Aaron J. Molstad, PhD and Adam J. Rothman, PhD. The manuscript can be found here:
|Author||Matt Galloway [aut, cre]|
|Date of publication||2018-08-13 09:00:09 UTC|
|Maintainer||Matt Galloway <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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