cglasso-package {cglasso}R Documentation

L1-Penalized Censored Gaussian Graphical Model

Description

The l1-penalized censored Gaussian graphical model (Augugliaro and other, 2018) is an extension of the graphical lasso estimator (Yuan and other, 2007) developed to handle datasets from a censored Gaussian graphical model. An EM-like algorithm is implemented to fit the model. The graphical lasso algorithm (Friedman and other, 2008) is used to solve the maximization problem in the M-step.

Details

Package: cglasso
Type: Package
Version: 1.1.1
Date: 2019-06-09
License: GPL (>=2)

Author(s)

Luigi Augugliaro
Maintainer: Luigi Augugliaro luigi.augugliaro@unipa.it

References

Augugliaro, L., Abbruzzo, A., and Vinciotti, V. (2018) <DOI:10.1093/biostatistics/kxy043>. l1-Penalized gaussian graphical model. Biostatistics (to appear).

Friedman, J.H., Hastie, T., and Tibshirani, R. (2008) <DOI:10.1093/biostatistics/kxm045>. Sparse inverse covariance estimation with the graphical lasso. Biostatistics 9, 432–441.

Yuan, M., and Lin, Y. (2007) <DOI:10.1093/biomet/asm018>. Model selection and estimation in the Gaussian graphical model. Biometrika 94, 19–35.


[Package cglasso version 1.1.1 Index]