covglasso: Sparse Covariance Matrix Estimation

Direct sparse covariance matrix estimation via the covariance graphical lasso by Bien, Tibshirani (2011) <doi:10.1093/biomet/asr054> using the fast coordinate descent algorithm of Wang (2014) <doi:10.1007/s11222-013-9385-5>.

Version: 1.0
Depends: R (≥ 3.4)
Imports: Rcpp (≥ 1.0)
LinkingTo: Rcpp, RcppArmadillo
Suggests: MASS, mixggm
Published: 2020-01-15
Author: Michael Fop ORCID iD [aut, cre], Hao Wang [ctb]
Maintainer: Michael Fop <michael.fop at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: covglasso results


Reference manual: covglasso.pdf
Package source: covglasso_1.0.tar.gz
Windows binaries: r-devel:, r-devel-gcc8:, r-release:, r-oldrel:
OS X binaries: r-release: covglasso_1.0.tgz, r-oldrel: covglasso_1.0.tgz


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