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. The method was published in TT Cai, W Liu, X Luo (2011) <doi:10.1198/jasa.2011.tm10155>.

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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 June 22, 2022, 5:07 p.m.