This R package implements the estimator introduced in Bien, J., and Tibshirani, R. (2011), “Sparse Estimation of a Covariance Matrix,” Biometrika.
The easiest way to install spcov is by using the devtools R
package (if not already installed, open R and type
install.packages("devtools")). To install
spcov, type the following from an R console:
devtools::install_github("jacobbien/spcov")
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