covglasso-package {covglasso}

Sparse covariance matrix estimation

Description

Fast and direct estimation of a sparse covariance matrix via covariance graphical lasso and coordinate descent algorithm.

Details

A package implementing direct estimation of a sparse covariance matrix corresponding to a Gaussian covariance graphical model. Estimation is performed by solving the covariance graphical lasso using a fast coordinate descent algorithm.

How to cite this package

To cite covglasso in publications use:

Fop, M. (2021). covglasso: Sparse Covariance Matrix Estimation, R package version 1.0.3,
https://CRAN.R-project.org/package=covglasso

Author(s)

Michael Fop.

Maintainer: Michael Fop [e-mail]

References

Bien, J., Tibshirani, R.J. (2011). Sparse estimation of a covariance matrix. Biometrika, 98(4), 807–820.

Wang, H. (2014). Coordinate descent algorithm for covariance graphical lasso. Statistics and Computing, 24:521.