EMgaussian

Last update 24 July 2025

Copyright license GNU General Public License

Software version identifier 0.2.1, PACKAGES.rds, 0.2.2

Description

Initially designed to distribute code for estimating the Gaussian graphical model with Lasso regularization, also known as the graphical lasso (glasso), using an Expectation-Maximization (EM) algorithm based on work by Städler and Bühlmann (2012) <doi:10.1007/s11222-010-9219-7>. As a byproduct, code for estimating means and covariances (or the precision matrix) under a multivariate normal (Gaussian) distribution is also available.

Cites work

Missing values: sparse inverse covariance estimation and an extension to sparse regression

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