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Glarmadillo
View on CRAN: Click
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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]
[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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