SCPME: Shrinking Characteristics of Precision Matrix Estimators

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: <doi:10.1093/biomet/asy023> .

Package details

AuthorMatt Galloway [aut, cre]
MaintainerMatt Galloway <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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SCPME documentation built on May 2, 2019, 3:42 a.m.