CVglasso

MaRDI QIDQ1351610swMATHCRANFDO

Authors Matt Galloway, James M Curran

Last update 20 May 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 1.0, PACKAGES.rds, 1.0.1

Official website https://cran.r-project.org/web/packages/CVglasso/index.html

Source code repository https://github.com/cran/CVglasso

Description

Estimates a lasso penalized precision matrix via blockwise coordinate descent (BCD). This package is a simple wrapper around the popular 'glasso' package and extends and enhances its capabilities. These enhancements include built-in cross validation and visualizations. See Friedman et al. (2008) <doi:10.1093/biostatistics/kxm045> for details regarding the estimation method.

Cites work

• Sparse inverse covariance estimation with the graphical lasso

Cited in

(5)

• GGRidge
• comparison
• Contraction of a quasi-Bayesian model with shrinkage priors in precision matrix estimation
• GGMncv
• AdaptiveGlasso

This page was built for software: CVglasso