MCLIME (1.1)

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Simultaneous Estimation of the Regression Coefficients and Precision Matrix.

http://cran.r-project.org/web/packages/MCLIME

A robust constrained L1 minimization method for estimating the regression coefficients and a large sparse inverse covariance matrix (i.e. precision matrix) simultaneoulsy. The computation uses linear programming.

Maintainer: Jichun Xie
Author(s): T. Tony Cai, Hongzhe Li, Weidong Liu and Jichun Xie

License: GPL-2

Uses: lpSolve

Released over 8 years ago.


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