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: 1.0.3
Depends: R (≥ 3.4)
Imports: Rcpp (≥ 1.0)
LinkingTo: Rcpp, RcppArmadillo
Suggests: MASS
Published: 2021-07-14
DOI: 10.32614/CRAN.package.covglasso
Author: Michael Fop ORCID iD [aut, cre], Hao Wang [ctb]
Maintainer: Michael Fop <michael.fop at>
License: GPL-3
NeedsCompilation: yes
Materials: NEWS
CRAN checks: covglasso results


Reference manual: covglasso.pdf


Package source: covglasso_1.0.3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): covglasso_1.0.3.tgz, r-oldrel (arm64): covglasso_1.0.3.tgz, r-release (x86_64): covglasso_1.0.3.tgz, r-oldrel (x86_64): covglasso_1.0.3.tgz
Old sources: covglasso archive


Please use the canonical form to link to this page.