covglasso

CRANcovglassoMaRDI QIDQ123828

Sparse Covariance Matrix Estimation

Michael Fop

Last update: 14 July 2021

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.0.3

Cites work

• Sparse estimation of a covariance matrix
• Coordinate descent algorithm for covariance graphical lasso

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