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.

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

View on CRAN

Man pages

GenerateCliquesCovariance
Generate a block diagonal covariance matrix
ProxADMM
Solving penalized Frobenius problem.
spcov
Sparse Covariance Estimation
spcov-package
Sparse Estimation of a Covariance Matrix

Files in this package

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