Description Details How to cite this package Author(s) References
Fast and direct estimation of a sparse covariance matrix via covariance graphical lasso and coordinate descent algorithm.
A package implementing direct estimation of a sparse covariance matrix corresponding to a Gaussian covariance graphical model. Estimation is performed by solving the covariance graphical lasso using a fast coordinate descent algorithm.
To cite covglasso in publications use:
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Michael Fop.
Maintainer: Michael Fop michael.fop@ucd.ie
Bien, J., Tibshirani, R.J. (2011). Sparse estimation of a covariance matrix. Biometrika, 98(4), 807–820.
Wang, H. (2014). Coordinate descent algorithm for covariance graphical lasso. Statistics and Computing, 24:521.
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