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@usc.edu>
Package repositoryView on CRAN
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spcov documentation built on Sept. 24, 2022, 1:08 a.m.