Description
Constrained L1-Minimization for Inverse (Covariance) Matrix Estimation.
Description
A robust constrained L1 minimization method for estimating a large sparse inverse covariance matrix (aka precision matrix), and recovering its support for building graphical models. The computation uses linear programming. The method was published in TT Cai, W Liu, X Luo (2011) <doi:10.1198/jasa.2011.tm10155>.
README.md
#clime#
This is an R package for Constrained L1 Inverse Covariance Estimation.
You can use R CMD build clime to create the source tar file. This should be the same as the CRAN clime package, as I will try to update the CRAN source as well.