MCLIME (1.1)

Simultaneous Estimation of the Regression Coefficients and Precision Matrix.

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 9 years ago.