spcov v1.01


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Sparse Estimation of a Covariance Matrix

Provides a covariance estimator for multivariate normal data that is sparse and positive definite. Implements the majorize-minimize algorithm described in Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," Biometrika. 98(4). 807--820.

Functions in spcov

Name Description
spcov-package Sparse Estimation of a Covariance Matrix
GenerateCliquesCovariance Generate a block diagonal covariance matrix
spcov Sparse Covariance Estimation
ProxADMM Solving penalized Frobenius problem.
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Type Package
Date 2012-03-04
License GPL-2
LazyLoad yes
Packaged 2012-09-13 04:10:47 UTC; jbien
Repository CRAN
Date/Publication 2012-09-13 05:58:32
Contributors Rob Tibshirani, Jacob Bien

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