# 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. No Results!