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.

Author | Jacob Bien and Rob Tibshirani |

Date of publication | 2012-09-13 05:58:32 |

Maintainer | Jacob Bien <jbien@cornell.edu> |

License | GPL-2 |

Version | 1.01 |

spcov

spcov/MD5

spcov/NAMESPACE

spcov/R

spcov/R/mm_morefuns.R
spcov/R/boundeval.R
spcov/R/mm.R
spcov/R/generate_sigma.R
spcov/R/prox.R
spcov/man

spcov/man/GenerateCliquesCovariance.Rd
spcov/man/ProxADMM.Rd
spcov/man/spcov.Rd
spcov/man/spcov-package.Rd
spcov/DESCRIPTION

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