SCPME: Shrinking Characteristics of Precision Matrix Estimators
Version 1.0

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: .

Package details

AuthorMatt Galloway [aut, cre]
Date of publication2018-08-13 09:00:09 UTC
MaintainerMatt Galloway <[email protected]>
LicenseGPL (>= 2)
Version1.0
URL https://github.com/MGallow/SCPME
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("SCPME")

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SCPME documentation built on Aug. 13, 2018, 9:03 a.m.