gicf: Penalised Likelihood Estimation of a Covariance Matrix
Penalised likelihood estimation of a covariance matrix via the ridge-regularised covglasso estimator described in Cibinel et al. (2024) <doi:10.48550/arXiv.2410.02403>.
| Version: | 1.0 |
| Imports: | Rcpp (≥ 1.0.12), stats |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | mvtnorm |
| Published: | 2025-05-16 |
| DOI: | 10.32614/CRAN.package.gicf |
| Author: | Luca Cibinel [cre, aut],
Alberto Roverato 
[aut],
Veronica Vinciotti
[aut],
Michael Fop [ctb],
Mathias Drton
[ctb] |
| Maintainer: | Luca Cibinel <lcibinel at gmail.com> |
| License: | GPL-3 |
| NeedsCompilation: | yes |
| CRAN checks: | gicf results |
Documentation:
| Reference manual: | gicf.pdf |
Downloads:
| Package source: | gicf_1.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): gicf_1.0.tgz, r-oldrel (arm64): gicf_1.0.tgz, r-release (x86_64): gicf_1.0.tgz, r-oldrel (x86_64): gicf_1.0.tgz |
Linking:
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