clime - Constrained L1-Minimization for Inverse (Covariance) Matrix Estimation
A robust constrained L1 minimization method for estimating a large sparse inverse covariance matrix (aka precision matrix), and recovering its support for building graphical models. The computation uses linear programming. The method was published in TT Cai, W Liu, X Luo (2011) <doi:10.1198/jasa.2011.tm10155>.
Last updated 3 years ago
4.24 score 4 dependents 29 scripts 300 downloadscord - Community Estimation in G-Models via CORD
Partition data points (variables) into communities/clusters, similar to clustering algorithms, such as k-means and hierarchical clustering. This package implements a clustering algorithm based on a new metric CORD, defined for high dimensional parametric or semi-parametric distributions. Read http://arxiv.org/abs/1508.01939 for more details.
Last updated 9 years ago
cpp
1.00 score 1 scripts 168 downloadslorec - LOw Rand and sparsE Covariance matrix estimation
Estimate covariance matrices that contain low rank and sparse components
Last updated 11 years ago
fortranopenblas
1.00 score 1 scripts 138 downloads