Use Newton's method and coordinate descent to solve the regularized inverse covariance matrix estimation problem. Please refer to: Sparse Inverse Covariance Matrix Estimation Using Quadratic Approximation, Cho-Jui Hsieh, Matyas A. Sustik, Inderjit S. Dhillon, Pradeep Ravikumar, Advances in Neural Information Processing Systems 24, 2011, p. 2330–2338.
| Version: | 1.1 |
| Depends: | R (≥ 2.10) |
| Published: | 2012-05-17 |
| Author: | Cho-Jui Hsieh [aut], Matyas A. Sustik [aut, cre], Inderjit S. Dhillon [aut], Pradeep Ravikumar [aut] |
| Maintainer: | Matyas A. Sustik <sustik at cs.utexas.edu> |
| BugReports: | sustik@cs.utexas.edu |
| License: | GPL-3 |
| URL: | http://www.r-project.org, http://www.cs.utexas.edu/users/sustik/QUIC |
| NeedsCompilation: | yes |
| Citation: | QUIC citation info |
| In views: | gR |
| CRAN checks: | QUIC results |
| Reference manual: | QUIC.pdf |
| Package source: | QUIC_1.1.tar.gz |
| Windows binaries: | r-devel: QUIC_1.1.zip, r-release: QUIC_1.1.zip, r-oldrel: QUIC_1.1.zip |
| OS X El Capitan binaries: | r-release: QUIC_1.1.tgz |
| OS X Mavericks binaries: | r-oldrel: QUIC_1.1.tgz |
| Old sources: | QUIC archive |
| Reverse depends: | abundant, MRCE, rsggm |
| Reverse imports: | SparseTSCGM |
| Reverse suggests: | pulsar, scio, stabs |
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