spcov

This R package implements the estimator introduced in Bien, J., and Tibshirani, R. (2011), “Sparse Estimation of a Covariance Matrix,” Biometrika.

The easiest way to install spcov is by using the devtools R package (if not already installed, open R and type install.packages("devtools")). To install spcov, type the following from an R console:

# devtools::install_github("jacobbien/spcov")
install.packages("spcov", repos = c('https://jacobbien.r-universe.dev', 'https://cloud.r-project.org'))