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.
|Author||Jacob Bien and Rob Tibshirani|
|Maintainer||Jacob Bien <[email protected]>|
|Package repository||View on CRAN|
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