spcov: Sparse Estimation of a Covariance Matrix

Provides a covariance estimator for multivariate normal data that is sparse and positive definite. Implements the majorize-minimize algorithm described in Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," Biometrika. 98(4). 807–820.

Version: 1.3
Published: 2022-09-23
DOI: 10.32614/CRAN.package.spcov
Author: Jacob Bien and Rob Tibshirani
Maintainer: Jacob Bien <jbien at usc.edu>
License: GPL-2
NeedsCompilation: no
Materials: README
CRAN checks: spcov results


Reference manual: spcov.pdf


Package source: spcov_1.3.tar.gz
Windows binaries: r-devel: spcov_1.3.zip, r-release: spcov_1.3.zip, r-oldrel: spcov_1.3.zip
macOS binaries: r-release (arm64): spcov_1.3.tgz, r-oldrel (arm64): spcov_1.3.tgz, r-release (x86_64): spcov_1.3.tgz, r-oldrel (x86_64): spcov_1.3.tgz
Old sources: spcov archive

Reverse dependencies:

Reverse suggests: CovCombR


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