MGallow/CVglasso: Lasso Penalized Precision Matrix Estimation
Estimates a lasso penalized precision matrix via the blockwise coordinate descent (BCD). This package is a simple wrapper around the popular 'glasso' package and extends and enhances its capabilities. These enhancements include built-in cross validation and visualizations. See Friedman et al (2008) <doi:10.1093/biostatistics/kxm045> for details regarding the estimation method.
Getting started
Browse package contents
Package details |
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| Maintainer | |
| License | GPL (>= 2) |
| Version | 1.0 |
| URL | https://github.com/MGallow/CVglasso |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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