clime

Constrained L1-minimization for Inverse (covariance) Matrix Estimation

A robust constrained L1 minimization method for estimating a large sparse inverse covariance matrix (aka precision matrix), and recovering its support for building graphical models. The computation uses linear programming.

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Description file content

Package
clime
Type
Package
Title
Constrained L1-minimization for Inverse (covariance) Matrix Estimation
Version
0.4.1
Date
2012-04-23
Author
T. Tony Cai, Weidong Liu and Xi (Rossi) Luo
Maintainer
Xi (Rossi) Luo
Depends
lpSolve
Suggests
lorec, scio
Description
A robust constrained L1 minimization method for estimating a large sparse inverse covariance matrix (aka precision matrix), and recovering its support for building graphical models. The computation uses linear programming.
License
GPL-2
Packaged
2012-04-23 15:08:48 UTC; xluo
Repository
CRAN
Date/Publication
2012-05-06 15:35:40
NeedsCompilation
no

install.packages('clime')

0.4.1

06 years ago

Xi (Rossi) Luo

GPL-2

Depends on

lpSolve

Suggests

lorec, scio

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