Description
Lasso Penalized Precision Matrix Estimation.
Description
Estimates a lasso penalized precision matrix via the blockwise coordinate descent (BCD). This package is a simple wrapper around the popular 'glasso' package that extends and enhances its capabilities. These enhancements include built-in cross validation and visualizations. See Friedman et al (2008) <doi:10.1093/biostatistics/kxm045> for details regarding the estimation method.