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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>.
Getting started
Browse package contents
Package details |
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| Author | Michael Fop [aut, cre] (<https://orcid.org/0000-0003-3936-2757>), Hao Wang [ctb] |
| Maintainer | Michael Fop <michael.fop@ucd.ie> |
| License | GPL-3 |
| Version | 1.0.3 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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