MGallow/SCPME: Shrinking Characteristics of Precision Matrix Estimators
Estimates a penalized precision matrix via an augmented ADMM algorithm. This package is an implementation of the methods described in "Shrinking Characteristics of Precision Matrix Estimators" by Aaron J. Molstad, PhD and Adam J. Rothman, PhD. The manuscript can be found here: <doi:10.1093/biomet/asy023> .
Getting started
Browse package contents
Package details |
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| Maintainer | |
| License | GPL (>= 2) |
| Version | 1.0 |
| URL | https://github.com/MGallow/SCPME |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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