Sparse Covariance Matrix Estimation
Overview
Direct sparse covariance matrix estimation via the covariance graphical lasso by Bien, Tibshirani (2011) doi:10.1093/biomet/asr054 using the fast coordinate descent algorithm of Wang (2014) doi:10.1007/s11222-013-9385-5.
- Minor bug fixes.
From NEWS.md in the release
Install
Health
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK14 OK2026-04-22
- ERROR13 OK, 1 ERROR2026-04-18
- OK14 OK2026-03-10
Documentation
- Help pages
- 3includes a package overview page
- Examples that run
- 100%1 run in a plain check
- Exported functions with examples
- 50%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 100%
Downloads
Dependencies
Installing covglasso adds 2 packages (2 with compiled code, 2.8 MB of source tarballs). Heaviest: Rcpp 1.8 MB, RcppArmadillo 1.0 MB.
Code & Tests
People & History
Pick two releases to compare their code metrics.
- RR 4.6.0 released · 2026-04-24
- RR 4.5.0 released · 2025-04-11
- RR 4.4.0 released · 2024-04-24
- RR 4.3.0 released · 2023-04-21
- RR 4.2.0 released · 2022-04-22
- unarchivedReturned to CRAN2021-07-14
- 1.0.3Latest
- RR 4.1.0 released · 2021-05-18
- archivedRemoved from CRAN2021-05-06check problems were not corrected in time
- 1.0.22020-05-29 · diff ↗
- RR 4.0.0 released · 2020-04-24
- 1.0.12020-02-08 · diff ↗
- 1.02020-01-15
- RR 3.6.0 released · 2019-04-26
Package metadata
- First published
- 2020-01-15
- Total releases
- 4 / 6 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 3.4
- Download size
- 8.7 KB
Cite
Cite this package
Run in R for the authors' preferred citation:
citation("covglasso")This package has no citation file, so citation() returns this entry built from DESCRIPTION.
Cite the R Observatory
For a number measured here: a download total, a coverage figure, an archival date.
From data release v2026-10-24, which the citation names so these numbers can be found later. More on citing and the projects behind them.