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.
https://anaconda.org/r/r-spcov/badges/version.svg
https://anaconda.org/r/r-spcov/badges/latest_release_date.svg
https://anaconda.org/r/r-spcov/badges/latest_release_relative_date.svg
https://anaconda.org/r/r-spcov/badges/platforms.svg
https://anaconda.org/r/r-spcov/badges/license.svg
https://anaconda.org/r/r-spcov/badges/downloads.svg