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Glarmadillo  

Solve the Graphical Lasso Problem with 'Armadillo'
View on CRAN: Click here


Download and install Glarmadillo package within the R console
Install from CRAN:
install.packages("Glarmadillo")

Install from Github:
library("remotes")
install_github("cran/Glarmadillo")

Install by package version:
library("remotes")
install_version("Glarmadillo", "1.1.1")



Attach the package and use:
library("Glarmadillo")
Maintained by
Alessandro Meng
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-12-15
Latest Update: 2023-12-15
Description:
Efficiently implements the Graphical Lasso algorithm, utilizing the 'Armadillo' 'C++' library for rapid computation. This algorithm introduces an L1 penalty to derive sparse inverse covariance matrices from observations of multivariate normal distributions. Features include the generation of random and structured sparse covariance matrices, beneficial for simulations, statistical method testing, and educational purposes in graphical modeling. A unique function for regularization parameter selection based on predefined sparsity levels is also offered, catering to users with specific sparsity requirements in their models. The methodology for sparse inverse covariance estimation implemented in this package is based on the work of Friedman, Hastie, and Tibshirani (2008) .
How to cite:
Alessandro Meng (2023). Glarmadillo: Solve the Graphical Lasso Problem with 'Armadillo'. R package version 1.1.1, https://cran.r-project.org/web/packages/Glarmadillo. Accessed 23 Nov. 2024.
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