bigmatrix (0.9.6)

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 three estimation procedures based on 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 CLIME for Sparse Precision Matrix Estimation (ADP). The optimization algorithms for all three methods 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.