clime: Constrained L1-minimization for Inverse (covariance) Matrix Estimation

A robust constrained L1 minimization method for estimating a large sparse inverse covariance matrix (aka precision matrix), and recovering its support for building graphical models. The computation uses linear programming.

Getting started

Package details

AuthorT. Tony Cai, Weidong Liu and Xi (Rossi) Luo
MaintainerXi (Rossi) Luo <>
Package repositoryView on CRAN
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clime documentation built on May 2, 2019, 12:40 p.m.