bigmatrix (0.9.2)

Tuning Insensitive Graph Estimation and Regression.

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

The package "bigmatrix" solves for the precision matrix estimations with two different methods. The first is the tuning insensitive graph estimation and regression implemented with scaled Lasso. Another method is by estimating at a grid of values for the constrained lambda and the augmented Lagrangian multiplier rho based on constrained L1 minimization for sparse precision matrix estimation, which guarantees positive definite output by projected augmented Lagrangian method and further accelerates the algorithm via coordinate descent and active set methods.

Maintainer: Xingguo LI
Author(s): Xingguo Li, Tuo Zhao, Lie Wang and Han Liu

License: GPL-2

Uses: glmnet, igraph, lattice, MASS, Matrix

Released over 7 years ago.