covglasso

Sparse Covariance Matrix Estimation

CRAN Package

Direct sparse covariance matrix estimation via the covariance graphical lasso by Bien, Tibshirani (2011) doi:10.1093/biomet/asr054 using the fast coordinate descent algorithm of Wang (2014) doi:10.1007/s11222-013-9385-5.

  • Version1.0.3
  • R versionunknown
  • LicenseGPL-3
  • Needs compilation?Yes
  • Last release07/14/2021

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