spcov
Sparse Estimation of a Covariance Matrix
Provides a covariance estimator for multivariate normal data that is sparse and positive definite. Implements the majorize-minimize algorithm described in Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," Biometrika. 98(4). 807–820.
- Version1.3
- R versionunknown
- LicenseGPL-2
- Needs compilation?No
- Last release09/23/2022
Documentation
Team
Jacob Bien
Jacob Bien and Rob Tibshirani
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- Reverse Suggests1 package