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spcov: Sparse Estimation of a Covariance Matrix
Provides a covariance estimator for multivariate normal data that is sparse and positive definite. Implements the majorize-minimize algorithm described in Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," Biometrika. 98(4). 807--820.
Getting started
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Package details |
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| Author | Jacob Bien and Rob Tibshirani |
| Maintainer | Jacob Bien <jbien@usc.edu> |
| License | GPL-2 |
| Version | 1.3 |
| Package repository | View on CRAN |
| Installation |
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