FastStepGraph

CRANFastStepGraphMaRDI QIDQ5981048FDOQ5981048

A Fast Algorithm for Sparse Precision Matrix Estimation

Juan G. Colonna, Marcelo Ruiz

Last update: 12 October 2023

Copyright license: MIT license, File License

Software version identifier: 0.1.0, 0.1.1

Description

It implements an improved and computationally faster version of the original Stepwise Gaussian Graphical Algorithm for estimating the Omega precision matrix from high-dimensional data. Zamar, R., Ruiz, M., Lafit, G. and Nogales, J. (2021) <doi:10.52933/jdssv.v1i2.11>.

Cites work

• A Stepwise Approach for High-Dimensional Gaussian Graphical Models

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