The 'sparseMatEst' package provides functions for estimating sparse covariance and precision matrices with error control. A false positive rate is fixed corresponding to the probability of falsely including a matrix entry in the support of the estimator. It uses the binary search method outlined in Kashlak and Kong (2019) <arXiv:1705.02679> and in Kashlak (2019) <arXiv:1903.10988>.
|Author||Adam B Kashlak [aut, cre], Xinyu Zhang [ctb]|
|Maintainer||Adam B Kashlak <[email protected]>|
|Package repository||View on CRAN|
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