Performs the majorize-minimize algorithm described in
Jacob Bien and Rob Tibshirani
Maintainer: Jacob Bien <jbien@stanford.edu>
Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," Biometrika. 98(4). 807--820.
Generalized gradient descent is used to minimize each majorizer.
| Package: | spcov |
| Type: | Package |
| Version: | 1.01 |
| Date: | 2012-03-04 |
| License: | GPL-2 |
| LazyLoad: | yes |
See the function spcov.
Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," Biometrika. 98(4). 807--820.
spcov