Package: spcov 1.3
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.
Authors:
spcov_1.3.tar.gz
spcov_1.3.zip(r-4.5)spcov_1.3.zip(r-4.4)spcov_1.3.zip(r-4.3)
spcov_1.3.tgz(r-4.5-any)spcov_1.3.tgz(r-4.4-any)spcov_1.3.tgz(r-4.3-any)
spcov_1.3.tar.gz(r-4.5-noble)spcov_1.3.tar.gz(r-4.4-noble)
spcov_1.3.tgz(r-4.4-emscripten)spcov_1.3.tgz(r-4.3-emscripten)
spcov.pdf |spcov.html✨
spcov/json (API)
| # Install 'spcov' in R: |
| install.packages('spcov', repos = c('https://jacobbien.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 3 years agofrom:a2431960bf. Checks:9 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Mar 16 2025 |
| R-4.5-win | OK | Mar 16 2025 |
| R-4.5-mac | OK | Mar 16 2025 |
| R-4.5-linux | OK | Mar 16 2025 |
| R-4.4-win | OK | Mar 16 2025 |
| R-4.4-mac | OK | Mar 16 2025 |
| R-4.4-linux | OK | Mar 16 2025 |
| R-4.3-win | OK | Mar 16 2025 |
| R-4.3-mac | OK | Mar 16 2025 |
Exports:GenerateCliquesCovarianceProxADMMspcov
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Sparse Estimation of a Covariance Matrix | spcov-package |
| Generate a block diagonal covariance matrix | GenerateCliquesCovariance |
| Solving penalized Frobenius problem. | ProxADMM |
| Sparse Covariance Estimation | spcov |
