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: | 1.3 |
| Published: | 2022-09-23 |
| DOI: | 10.32614/CRAN.package.spcov |
| Author: | Jacob Bien and Rob Tibshirani |
| Maintainer: | Jacob Bien <jbien at usc.edu> |
| License: | GPL-2 |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | spcov results |
| Reference manual: | spcov.pdf |
| Package source: | spcov_1.3.tar.gz |
| Windows binaries: | r-devel: spcov_1.3.zip, r-release: spcov_1.3.zip, r-oldrel: spcov_1.3.zip |
| macOS binaries: | r-release (arm64): spcov_1.3.tgz, r-oldrel (arm64): spcov_1.3.tgz, r-release (x86_64): spcov_1.3.tgz, r-oldrel (x86_64): spcov_1.3.tgz |
| Old sources: | spcov archive |
| Reverse suggests: | CovCombR |
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