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-4.7-any)spcov_1.3.zip(r-4.6-any)spcov_1.3.zip(r-4.5-any)
spcov_1.3.tgz(r-4.6-any)spcov_1.3.tgz(r-4.5-any)
spcov_1.3.tar.gz(r-4.7-any)spcov_1.3.tar.gz(r-4.6-any)
spcov_1.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
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 from:a2431960bf. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 80 | ||
| source / vignettes | OK | 135 | ||
| linux-release | OK | 92 | ||
| macos-release | OK | 134 | ||
| macos-oldrel | OK | 118 | ||
| windows-devel | OK | 51 | ||
| windows-release | OK | 56 | ||
| windows-oldrel | OK | 59 | ||
| wasm-release | OK | 79 |
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 |