CVglasso

Lasso Penalized Precision Matrix Estimation

CRAN Package

Estimates a lasso penalized precision matrix via the blockwise coordinate descent (BCD). This package is a simple wrapper around the popular 'glasso' package that extends and enhances its capabilities. These enhancements include built-in cross validation and visualizations. See Friedman et al (2008) doi:10.1093/biostatistics/kxm045 for details regarding the estimation method.

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  • Depends1 package
  • Imports4 packages
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