CRAN

ADMMsigma 2.1

Penalized Precision Matrix Estimation via ADMM

Released Aug 2, 2018 by Matt Galloway

This package cannot yet be used with Renjin it depends on other packages which are not available: dplyr 0.7.6

Dependencies

dplyr 0.7.6 ggplot2 3.0.0 RcppArmadillo 0.9.100.5.0 foreach 1.4.4 Rcpp doParallel 1.0.11 RcppProgress 0.4.1

Estimates a penalized precision matrix via the alternating direction method of multipliers (ADMM) algorithm. It currently supports a general elastic-net penalty that allows for both ridge and lasso-type penalties as special cases. This package is an alternative to the 'glasso' package. See Boyd et al (2010) for details regarding the estimation method.

Source

R
C
C++

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