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Glarmadillo: Solve the Graphical Lasso Problem with 'Armadillo'

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) <doi:10.1093/biostatistics/kxm045>.

Version: 1.1.1
Depends: R (≥ 3.3)
Imports: stats, Rcpp (≥ 0.12), RcppArmadillo
LinkingTo: Rcpp (≥ 0.12), RcppArmadillo
Suggests: knitr, rmarkdown
Published: 2023-12-15
DOI: 10.32614/CRAN.package.Glarmadillo
Author: Alessandro Meng [aut, cre]
Maintainer: Alessandro Meng <mengfangeng at ruc.edu.cn>
License: GPL (≥ 3)
NeedsCompilation: yes
Materials: README
CRAN checks: Glarmadillo results

Documentation:

Reference manual: Glarmadillo.pdf
Vignettes: An Introduction to Glarmadillo

Downloads:

Package source: Glarmadillo_1.1.1.tar.gz
Windows binaries: r-devel: Glarmadillo_1.1.1.zip, r-release: Glarmadillo_1.1.1.zip, r-oldrel: Glarmadillo_1.1.1.zip
macOS binaries: r-release (arm64): Glarmadillo_1.1.1.tgz, r-oldrel (arm64): Glarmadillo_1.1.1.tgz, r-release (x86_64): Glarmadillo_1.1.1.tgz, r-oldrel (x86_64): Glarmadillo_1.1.1.tgz

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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