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

Package details

Maintainer
LicenseGPL (>= 2)
Version1.0
URL https://github.com/MGallow/CVglasso
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("MGallow/CVglasso")
MGallow/CVglasso documentation built on Aug. 5, 2018, 7:06 a.m.