ADMMsigma (2.1)

Penalized Precision Matrix Estimation via ADMM.

https://github.com/MGallow/ADMMsigma
http://cran.r-project.org/web/packages/ADMMsigma

Estimates a penalized precision matrix via the alternating direction method of multipliers (ADMM) algorithm. It currently supports a general elastic-net penalty that allows for both ridge and lasso-type penalties as special cases. This package is an alternative to the 'glasso' package. See Boyd et al (2010) for details regarding the estimation method.

Maintainer: Matt Galloway
Author(s): Matt Galloway [aut, cre]

License: GPL (>= 2)

Uses: doParallel, dplyr, foreach, ggplot2, Rcpp, RcppProgress, testthat, microbenchmark, knitr, rmarkdown, pkgdown

Released 9 months ago.