covglasso: Sparse Covariance Matrix Estimation

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>.

Version: 1.0.3
Depends: R (≥ 3.4)
Imports: Rcpp (≥ 1.0)
LinkingTo: Rcpp, RcppArmadillo
Suggests: MASS
Published: 2021-07-14
Author: Michael Fop ORCID iD [aut, cre], Hao Wang [ctb]
Maintainer: Michael Fop <michael.fop at ucd.ie>
License: GPL-3
NeedsCompilation: yes
Materials: NEWS
CRAN checks: covglasso results

Downloads:

Reference manual: covglasso.pdf
Package source: covglasso_1.0.3.tar.gz
Windows binaries: r-devel: covglasso_1.0.3.zip, r-devel-UCRT: covglasso_1.0.3.zip, r-release: covglasso_1.0.3.zip, r-oldrel: covglasso_1.0.3.zip
macOS binaries: r-release (arm64): covglasso_1.0.3.tgz, r-release (x86_64): covglasso_1.0.3.tgz, r-oldrel: covglasso_1.0.3.tgz
Old sources: covglasso archive

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