gicf

Authors Luca Cibinel, Alberto Roverato, Veronica Vinciotti

Last update 22 August 2025

Copyright license GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 1.0, 1.0.1

Description

Penalised likelihood estimation of a covariance matrix via the ridge-regularised covglasso estimator described in Cibinel et al. (2024) <doi:10.48550/arXiv.2410.02403>. Based on the 'C++' code of the 'R' package 'covglasso' (by Michael Fop, <https://orcid.org/0000-0003-3936-2757>) and the 'R' code of 'icf' (by Mathias Drton, <https://orcid.org/0000-0001-5614-3025>) within the 'R' package 'ggm'.

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