gicf-package: Penalised Likelihood Estimation of a Covariance Matrix
In gicf: Penalised Likelihood Estimation of a Covariance Matrix
gicf-package R Documentation
Penalised Likelihood Estimation of a Covariance Matrix
Description
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'.
Details
This package optimises the penalised loglikelihood function of a Gaussian covariance graphical model via an iterative coordinate descent algorithm.
Author(s)
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>
References
Cibinel, L., A. Roverato, and V. Vinciotti (2024). A unified approach to penalized likelihood estimation of covariance matrices in high dimensions. arXiv, arXiv:2410.02403.
gicf documentation built on Aug. 22, 2025, 5:11 p.m.
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| gicf-package | R Documentation |
Penalised Likelihood Estimation of a Covariance Matrix
Description
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'.
Details
This package optimises the penalised loglikelihood function of a Gaussian covariance graphical model via an iterative coordinate descent algorithm.
Author(s)
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>
References
Cibinel, L., A. Roverato, and V. Vinciotti (2024). A unified approach to penalized likelihood estimation of covariance matrices in high dimensions. arXiv, arXiv:2410.02403.
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