rags2ridges

swMATH25630CRANrags2ridgesMaRDI QIDQ37368FDOQ37368

Ridge Estimation of Precision Matrices from High-Dimensional Data

Anders Ellern Bilgrau, Wessel N. van Wieringen, Carel F. W. Peeters

Last update: 14 October 2023

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

Software version identifier: 2.2.6, 1.1, 1.2, 1.3, 1.4, 2.0, 2.1.1, 2.1, 2.2.1, 2.2.2, 2.2.3, 2.2.4, 2.2.5, 2.2, 2.2.7

Source code repository: https://github.com/cran/rags2ridges

Description

Proper L2-penalized maximum likelihood estimators for precision matrices and supporting functions to employ these estimators in a graphical modeling setting. For details, see Peeters, Bilgrau, & van Wieringen (2022) <doi:10.18637/jss.v102.i04> and associated publications.

Cites work

• rags2ridges: A One-Stop-ℓ2-Shop for Graphical Modeling of High-Dimensional Precision Matrices

Cited In (4)

• Ridge estimation of inverse covariance matrices from high-dimensional data
• ragt2ridges
• The spectral condition number plot for regularization parameter evaluation
• Title not available (Why is that?)

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