rluo/clime: 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. The method was published in TT Cai, W Liu, X Luo (2011) <doi:10.1198/jasa.2011.tm10155>.
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Package details |
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| Author | T. Tony Cai, Weidong Liu and Xi (Rossi) Luo |
| Maintainer | Xi (Rossi) Luo <xi.rossi.luo@gmail.com> |
| License | GPL-2 |
| Version | 0.5.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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