Sparse Estimation of a Covariance Matrix

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Description

Performs the majorize-minimize algorithm described in

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.

Details

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 <jbien@stanford.edu>

References

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

See Also

spcov