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.
| Version: |
1.01 |
| Published: |
2012-09-13 |
| Author: |
Jacob Bien and Rob Tibshirani |
| Maintainer: |
Jacob Bien <jbien at cornell.edu> |
| License: |
GPL-2 |
| NeedsCompilation: |
no |
| CRAN checks: |
spcov results |
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