Package: Glarmadillo 1.1.1
Alessandro Meng
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>.
Authors:
Glarmadillo_1.1.1.tar.gz
Glarmadillo_1.1.1.tar.gz(r-4.5-noble)Glarmadillo_1.1.1.tar.gz(r-4.4-noble)
Glarmadillo_1.1.1.tgz(r-4.4-emscripten)Glarmadillo_1.1.1.tgz(r-4.3-emscripten)
Glarmadillo.pdf |Glarmadillo.html✨
Glarmadillo/json (API)
# Install 'Glarmadillo' in R: |
install.packages('Glarmadillo', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 12 months agofrom:d3aedc495c. Checks:OK: 2. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Dec 10 2024 |
R-4.5-linux-x86_64 | OK | Dec 10 2024 |
Exports:find_lambda_by_sparsitygenerate_sparse_cov_matrixgenerate_specific_shape_sparse_cov_matrixglarma
Dependencies:RcppRcppArmadillo
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Find Optimal Lambda by Sparsity Level | find_lambda_by_sparsity |
Generate Sparse Covariance Matrix | generate_sparse_cov_matrix |
Generate Specific Shape Sparse Covariance Matrix | generate_specific_shape_sparse_cov_matrix |
Solve Graphical Lasso with Armadillo | glarma |