gicf-package {gicf}R Documentation

Penalised Likelihood Estimation of a Covariance Matrix

Description

Penalised likelihood estimation of a covariance matrix via the ridge-regularised covglasso estimator described in Cibinel et al. (2024) <doi:10.48550/arXiv.2410.02403>.

Details

This package optimises the penalised loglikelihood function of a Gaussian covariance graphical model via an iterative coordinate descent algorithm.

Author(s)

Luca Cibinel [cre, aut], Alberto Roverato [aut] (<https://orcid.org/0000-0001-7984-3593>), Veronica Vinciotti [aut] (<https://orcid.org/0000-0002-2625-7977>), Michael Fop [ctb] (<https://orcid.org/0000-0003-3936-2757>), Mathias Drton [ctb] (<https://orcid.org/0000-0001-5614-3025>)

Maintainer: Luca Cibinel <lcibinel@gmail.com>

References

Cibinel, L., A. Roverato, and V. Vinciotti (2024). A unified approach to penalized likelihood estimation of covariance matrices in high dimensions. arXiv, arXiv:2410.02403.


[Package gicf version 1.0 Index]