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.

Install the latest version of this package by entering the following in R:
AuthorT. Tony Cai, Weidong Liu and Xi (Rossi) Luo
Date of publication2012-05-06 15:35:40
MaintainerXi (Rossi) Luo <>

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