spcov-package: Sparse Estimation of a Covariance Matrix
Description
Performs the majorize-minimize algorithm described in
Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a
Covariance Matrix," Biometrika. 98(4). 807--820.
Generalized gradient descent is used to minimize each majorizer.
Details
|
Package: |
| spcov |
|
Type: |
| Package |
|
Version: |
| 1.01 |
|
Date: |
| 2012-03-04 |
|
License: |
| GPL-2 |
|
LazyLoad: |
| yes |
See the function spcov.
References
Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a
Covariance Matrix," Biometrika. 98(4). 807--820.