dilernia/rccm: Implemention of Random Covariance Models

This package implements random covariance models for joint estimation of multiple sparse precision matrices for Gaussian graphical models. Methods implemented include the Random Covariance Model (RCM) and the Random Covariance Clustering Model (RCCM). The RCM utilizes a Kullback-Leibler divergence penalty to induce similarity across matrices. The RCCM is a penalized model-based clustering method for joint estimation of multiple sparse precision matrices which provides sparse subject-level matrices, cluster-level matrices, and estimated cluster assignments.

install.packages("remotes")
remotes::install_github("dilernia/rccm")