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Constrained L1-Minimization for Inverse (Covariance) Matrix Estimation

CRAN Package

A robust constrained L1 minimization method for estimating a large sparse inverse covariance matrix (aka precision matrix), and recovering its support for building graphical models. The computation uses linear programming. The method was published in TT Cai, W Liu, X Luo (2011) doi:10.1198/jasa.2011.tm10155.

  • Version0.5.0
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?No
  • Last release06/22/2022

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