sparseMatEst

The 'sparseMatEst' package provides functions for estimating sparse covariance and precision matrices with error control. A false positive rate is fixed corresponding to the probability of falsely including a matrix entry in the support of the estimator. It uses the binary search method outlined in Kashlak and Kong (2019) doi:10.48550/arXiv.1705.02679 and in Kashlak (2019) doi:10.48550/arXiv.1903.10988.

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