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>.
|Author||T. Tony Cai, Weidong Liu and Xi (Rossi) Luo|
|Maintainer||Xi (Rossi) Luo <email@example.com>|
|Package repository||View on CRAN|
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