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covglasso (version 1.0.3)

Sparse Covariance Matrix Estimation

Description

Direct sparse covariance matrix estimation via the covariance graphical lasso by Bien, Tibshirani (2011) using the fast coordinate descent algorithm of Wang (2014) .

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Version

Install

install.packages('covglasso')

Monthly Downloads

208

Version

1.0.3

License

GPL-3

Maintainer

Michael Fop

Last Published

July 14th, 2021

Functions in covglasso (1.0.3)

control

Set control parameters
covglasso-package

Sparse covariance matrix estimation
covglasso

Sparse covariance matrix estimation