Glarmadillo
CRANGlarmadilloMaRDI QIDQ5978866FDOQ5978866
Solve the Graphical Lasso Problem with 'Armadillo'
Last update: 15 December 2023
Copyright license: GNU General Public License
Software version identifier: 1.1.1
Efficiently implements the Graphical Lasso algorithm, utilizing the 'Armadillo' 'C++' library for rapid computation. This algorithm introduces an L1 penalty to derive sparse inverse covariance matrices from observations of multivariate normal distributions. Features include the generation of random and structured sparse covariance matrices, beneficial for simulations, statistical method testing, and educational purposes in graphical modeling. A unique function for regularization parameter selection based on predefined sparsity levels is also offered, catering to users with specific sparsity requirements in their models. The methodology for sparse inverse covariance estimation implemented in this package is based on the work of Friedman, Hastie, and Tibshirani (2008) <doi:10.1093/biostatistics/kxm045>.
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