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.

Package details

AuthorJacob Bien and Rob Tibshirani
MaintainerJacob Bien <jbien@cornell.edu>
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 2, 2019, 9:38 a.m.