bigmatrix (0.9.5)

Tuning Insensitive Graph Estimation and Regression.

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

The package "bigmatrix" estimates high dimensional precision matrices for Gaussian graphical models. We adopt two estimation procedures based column by column regression: (1) Tuning-Insensitive Graph Estimation and Regression (TIGER). (2) The Constrained L1 Minimization for Sparse Precision Matrix Estimation (CLIME). (3) Adaptive Lasso for Sparse Precision Matrix Estimation (ADP). The optimization algorithm for CLIME and ADP are based on alternative direction method combined with coordinate decent. The computation is memory-optimized using the sparse matrix output.

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.