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
Browse package contents
Package details |
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| Maintainer | Xi (Rossi) Luo <xi.rossi.luo@gmail.com> |
| License | GPL-2 |
| Version | 0.4.1-1 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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