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.

Install the latest version of this package by entering the following in R:
install.packages("spcov")
AuthorJacob Bien and Rob Tibshirani
Date of publication2012-09-13 05:58:32
MaintainerJacob Bien <jbien@cornell.edu>
LicenseGPL-2
Version1.01

View on CRAN

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