qpsy/clime2: Constrained L1-minimization for Inverse (covariance) Matrix Estimation

A robust constrained L1 minimization method for estimating a large sparse inverse covariance matrix (aka precision matrix), and recovering its support for building graphical models. The computation uses linear programming.

Getting started

Package details

MaintainerXi (Rossi) Luo <[email protected]>
LicenseGPL-2
Version0.4.1-1
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("qpsy/clime2")
qpsy/clime2 documentation built on May 24, 2017, 2:21 p.m.