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Provides a covariance estimator for multivariate normal data that is sparse and positive definite. Implements the majorizeminimize algorithm described in Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," Biometrika. 98(4). 807820.
Package details 


Author  Jacob Bien and Rob Tibshirani 
Maintainer  Jacob Bien <[email protected]> 
License  GPL2 
Version  1.01 
Package repository  View on CRAN 
Installation 
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