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gicf: Penalised Likelihood Estimation of a Covariance Matrix
Penalised likelihood estimation of a covariance matrix via the ridge-regularised covglasso estimator described in Cibinel et al. (2024) <doi:10.48550/arXiv.2410.02403>. Based on the 'C++' code of the 'R' package 'covglasso' (by Michael Fop, <https://orcid.org/0000-0003-3936-2757>) and the 'R' code of 'icf' (by Mathias Drton, <https://orcid.org/0000-0001-5614-3025>) within the 'R' package 'ggm'.
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Package details |
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| Author | Luca Cibinel [cre, aut] (ORCID: <https://orcid.org/0009-0009-1274-8327>), Alberto Roverato [aut] (ORCID: <https://orcid.org/0000-0001-7984-3593>), Veronica Vinciotti [aut] (ORCID: <https://orcid.org/0000-0002-2625-7977>) |
| Maintainer | Luca Cibinel <lcibinel@gmail.com> |
| License | GPL-3 |
| Version | 1.0.1 |
| Package repository | View on CRAN |
| Installation |
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