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

Downloads:

Reference manual: spcov.pdf
Package source: spcov_1.01.tar.gz
Windows binaries: r-devel: spcov_1.01.zip, r-release: spcov_1.01.zip, r-oldrel: spcov_1.01.zip
macOS binaries: r-release (arm64): spcov_1.01.tgz, r-release (x86_64): spcov_1.01.tgz, r-oldrel: spcov_1.01.tgz
Old sources: spcov archive

Reverse dependencies:

Reverse imports: KOBT
Reverse suggests: CovCombR

Linking:

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