SCPME: Shrinking Characteristics of Precision Matrix Estimators

Estimates a penalized precision matrix via an augmented ADMM algorithm. This package is an implementation of the methods described in "Shrinking Characteristics of Precision Matrix Estimators" by Aaron J. Molstad, PhD and Adam J. Rothman, PhD. The manuscript can be found here: <doi:10.1093/biomet/asy023> .

Version: 1.0
Depends: Rcpp (≥ 0.12.10), RcppProgress (≥ 0.1), doParallel
Imports: stats, parallel, foreach, ggplot2, dplyr
LinkingTo: Rcpp, RcppArmadillo, RcppProgress
Suggests: testthat, knitr, rmarkdown, microbenchmark, glasso, pkgdown
Published: 2018-08-13
Author: Matt Galloway [aut, cre]
Maintainer: Matt Galloway <gall0441 at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
SystemRequirements: GNU make
Materials: NEWS
CRAN checks: SCPME results


Reference manual: SCPME.pdf
Vignettes: SCPME Algorithm Details
SCPME Tutorial
Package source: SCPME_1.0.tar.gz
Windows binaries: r-devel:, r-devel-UCRT:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): SCPME_1.0.tgz, r-release (x86_64): SCPME_1.0.tgz, r-oldrel: SCPME_1.0.tgz


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