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.
| Version: | 2.1 |
| Depends: | Rcpp (≥ 0.12.10), RcppProgress (≥ 0.1), doParallel |
| Imports: | stats, parallel, foreach, ggplot2, dplyr |
| LinkingTo: | Rcpp, RcppArmadillo, RcppProgress |
| Suggests: | testthat, knitr, rmarkdown, microbenchmark, pkgdown |
| Published: | 2018-08-02 |
| DOI: | 10.32614/CRAN.package.ADMMsigma |
| Author: | Matt Galloway [aut, cre] |
| Maintainer: | Matt Galloway <gall0441 at umn.edu> |
| BugReports: | https://github.com/MGallow/ADMMsigma/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://github.com/MGallow/ADMMsigma |
| NeedsCompilation: | yes |
| SystemRequirements: | GNU make |
| Materials: | NEWS |
| CRAN checks: | ADMMsigma results |
| Reference manual: | ADMMsigma.pdf |
| Vignettes: |
Precision Matrix Estimation via ADMM Simulations ADMMsigma Tutorial |
| Package source: | ADMMsigma_2.1.tar.gz |
| Windows binaries: | r-devel: ADMMsigma_2.1.zip, r-release: ADMMsigma_2.1.zip, r-oldrel: ADMMsigma_2.1.zip |
| macOS binaries: | r-release (arm64): ADMMsigma_2.1.tgz, r-oldrel (arm64): ADMMsigma_2.1.tgz, r-release (x86_64): ADMMsigma_2.1.tgz, r-oldrel (x86_64): ADMMsigma_2.1.tgz |
| Old sources: | ADMMsigma archive |
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