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.