CVglasso (1.0)

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Lasso Penalized Precision Matrix Estimation.

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

Estimates a lasso penalized precision matrix via the blockwise coordinate descent (BCD). This package is a simple wrapper around the popular 'glasso' package that extends and enhances its capabilities. These enhancements include built-in cross validation and visualizations. See Friedman et al (2008) for details regarding the estimation method.

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

License: GPL (>= 2)

Uses: doParallel, dplyr, foreach, ggplot2, glasso, testthat

Released over 1 year ago.


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