Package: ADMMsigma 2.1

Matt Galloway

ADMMsigma: Penalized Precision Matrix Estimation via ADMM

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) <doi:10.1561/2200000016> for details regarding the estimation method.

Authors:Matt Galloway [aut, cre]

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Bug tracker:https://github.com/mgallow/admmsigma/issues

On CRAN:

admmcovariance-matrixglassolassoprecision-matrixridge

4 exports 4 stars 1.03 score 38 dependencies 12 scripts 328 downloads

Last updated 6 years agofrom:d8a58aad67. Checks:OK: 9. Indexed: yes.

Exports:ADMMcADMMsigmaRIDGEcRIDGEsigma

Dependencies:clicodetoolscolorspacedoParalleldplyrfansifarverforeachgenericsggplot2gluegtableisobanditeratorslabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerRcppRcppArmadilloRcppProgressrlangscalestibbletidyselectutf8vctrsviridisLitewithr