covglasso: Sparse Covariance Matrix Estimation

Direct sparse covariance matrix estimation via the covariance graphical lasso by Bien, Tibshirani (2011) <doi:10.1093/biomet/asr054> using the fast coordinate descent algorithm of Wang (2014) <doi:10.1007/s11222-013-9385-5>.

Package details

AuthorMichael Fop [aut, cre] (<>), Hao Wang [ctb]
MaintainerMichael Fop <>
Package repositoryView on CRAN
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covglasso documentation built on July 14, 2021, 5:11 p.m.