ADMMsigma

Penalized Precision Matrix Estimation via ADMM

CRAN Package

Estimates a penalized precision matrix via the alternating direction method of multipliers (ADMM) algorithm. It currently supports a general elastic-net penalty that allows for both ridge and lasso-type penalties as special cases. This package is an alternative to the 'glasso' package. See Boyd et al (2010) doi:10.1561/2200000016 for details regarding the estimation method.

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