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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.3 |
2026-04-09 windows/windows R-4.5 | covglasso_1.0.3.zip |
412.3 KiB |