My research interests include statistical machine learning, multivariate analysis, precision matrix estimation, sufficient dimension reduction, and kernel methods (among others).
Estimates a penalized precision matrix via the alternating direction method of multipliers (ADMM) algorithm.
Estimates a penalized precision matrix via block-wise coordinate descent – also known as the graphical lasso (glasso) algorithm.
An implementation of the methods described in “Shrinking Characteristics of Precision Matrix Estimators” pdf by Aaron J. Molstad, Ph.D and Adam J. Rothman, Ph.D.
Estimates a penalized precision matrix. This package is a simple wrapper around the popular ‘glasso’ package and extends and enhances its capabilities.
A package for linear and logistic regression with optional ridge and bridge regularization penalties.