spcov-package: Sparse Estimation of a Covariance Matrix

In spcov: Sparse Estimation of a Covariance Matrix

Sparse Estimation of a Covariance Matrix

Description

Performs the majorize-minimize algorithm described in

Details

Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," Biometrika. 98(4). 807–820.

Generalized gradient descent is used to minimize each majorizer.

Package:	spcov
Type:	Package
Version:	1.01
Date:	2012-03-04
License:	GPL-2
LazyLoad:	yes

See the function spcov.

Author(s)

Jacob Bien and Rob Tibshirani

Maintainer: Jacob Bien <[e-mail]>

References

Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," Biometrika. 98(4). 807–820.

See Also

spcov

spcov documentation built on Sept. 24, 2022, 1:08 a.m.