spcov: Sparse Estimation of a Covariance Matrix
Version 1.01

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.

Package details

AuthorJacob Bien and Rob Tibshirani
Date of publication2012-09-13 05:58:32
MaintainerJacob Bien <[email protected]>
LicenseGPL-2
Version1.01
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("spcov")

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spcov documentation built on May 30, 2017, 12:42 a.m.