spcov swMATH ID: 12271 Software Authors: Bien, Jacob; Tibshirani, Robert J. Description: spcov: Sparse Estimation of a Covariance Matrix. Provides a covariance estimator for multivariate normal data that is sparse and positive definite. Implements the majorize-minimize algorithm described in Bien, J., and Tibshirani, R. (2011), ”Sparse Estimation of a Covariance Matrix,” Biometrika. 98(4). 807–820. Homepage: http://cran.r-project.org/web/packages/spcov/index.html Source Code: https://github.com/cran/spcov Dependencies: R Related Software: glasso; R; MIM; FRK; glmnet; fda (R); rda; penalizedLDA; spBayes; GMRFLib; ElemStatLearn; QUIC; LAPACK; LMaFit; HdBCS; scout; Rainbow; caret; e1071; gRc Cited in: 59 Documents Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year Sparse estimation of a covariance matrix. Zbl 1228.62063Bien, Jacob; Tibshirani, Robert J. 2011 all top 5 Cited by 136 Authors 4 Kang, Xiaoning 3 Shen, Yuan 2 Bien, Jacob 2 Deng, Xinwei 2 Fop, Michael 2 Helbert, Céline 2 Hong, Younghee 2 Kim, Choongrak 2 Le Thi, Hoai An 2 Leng, Chenlei 2 Marrel, Amandine 2 Nanty, Simon 2 Pan, Guangming 2 Pérot, Nadia 2 Pham Dinh Tao 2 Prieur, Clémentine 2 Wang, Hao 2 Wang, Shaoxin 2 Zhang, Xiayang 2 Zuo, Yannian 1 Adegoke, Nurudeen A. 1 Anderson, Marti Jane 1 Artemiou, Andreas 1 Azose, Jonathan J. 1 Bai, Jushan 1 Banerjee, Samprit 1 Becker, Stephen R. 1 Bishop, Adrian N. 1 Bradley, Jonathan R. 1 Cappozzo, Andrea 1 Casa, Alessandro 1 Celisse, Alain 1 Chang, Iksoo 1 Chang, Yu-Hung 1 Chen, Wei 1 Chen, Xi 1 Cheng, Qing 1 Chiaromonte, Francesca 1 Chiong, Khai Xiang 1 Choi, Young-Geun 1 Craiu, Radu V. 1 Cui, Ying 1 Del Moral, Pierre 1 Delavenne, Xavier 1 Deng, Weiqi 1 Eidsvik, Jo 1 Fan, Qingliang 1 Felici, Giovanni 1 Fermanian, Jean-David 1 Forzani, Liliana 1 Guibert, Quentin 1 Guo, Xiao 1 Han, Xiao 1 Hecq, Alain W. 1 Hu, Liuyi 1 Jiang, Bibo 1 Jo, Seongil 1 Kang, Lulu 1 Kashlak, Adam B. 1 Kellner, Jérémie 1 Kenney, Ana 1 Kleiber, William 1 Krock, Mitchell 1 Kuhn, Daniel 1 Lange, Kenneth L. 1 Lee, Jaeyong 1 Lee, Kyoungjae 1 Li, Bo 1 Liao, Yuan 1 Lim, Johan 1 Liu, Xiao 1 Lopez, Olivier 1 Mak, Simon 1 Mallick, Bani K. 1 Mohajerin Esfahani, Peyman 1 Monni, Stefano 1 Moon, Hyungsik Roger 1 Murphy, Thomas Brendan 1 Nadler, Boaz 1 Nel, Daan G. 1 Ollier, Edouard 1 Pan, Jianxin 1 Park, Junyong 1 Parker, Ryan J. 1 Pathiraja, Sahani D. 1 Peeters, Carel F. W. 1 Pepler, P. T. 1 Phan, Duy Nhat 1 Piette, Pierrick 1 Pircalabelu, Eugen 1 Poignard, Benjamin 1 Punnett, Andrew 1 Raftery, Adrian E. 1 Reich, Brian James 1 Roshan Joseph, V. 1 Rothman, Adam J. 1 Roy, Anindya 1 Samson, Adeline 1 Sarkar, Abhra 1 Scrucca, Luca ...and 36 more Authors all top 5 Cited in 38 Serials 5 Journal of Multivariate Analysis 5 Journal of Computational and Graphical Statistics 3 Computational Statistics 3 Computational Statistics and Data Analysis 3 Statistics and Computing 2 Journal of the American Statistical Association 2 Journal of Statistical Computation and Simulation 2 Bernoulli 2 Acta Mathematica Sinica. English Series 2 Journal of the Korean Statistical Society 2 Electronic Journal of Statistics 2 Journal of Agricultural, Biological, and Environmental Statistics 1 Annals of the Institute of Statistical Mathematics 1 The Annals of Statistics 1 Applied Mathematics and Computation 1 Biometrika 1 Journal of Computational and Applied Mathematics 1 Journal of Econometrics 1 Journal of Statistical Planning and Inference 1 Operations Research 1 Insurance Mathematics & Economics 1 Journal of Classification 1 Applied Numerical Mathematics 1 Optimization 1 Econometric Reviews 1 Neural Computation 1 Communications in Statistics. Simulation and Computation 1 Communications in Statistics. Theory and Methods 1 Stochastic Processes and their Applications 1 Mathematical Programming. Series A. Series B 1 Optimization Methods & Software 1 Journal of Applied Statistics 1 Econometric Theory 1 The Annals of Applied Statistics 1 Information and Inference 1 Bayesian Analysis 1 SIAM/ASA Journal on Uncertainty Quantification 1 Statistical Theory and Related Fields all top 5 Cited in 12 Fields 51 Statistics (62-XX) 8 Operations research, mathematical programming (90-XX) 6 Numerical analysis (65-XX) 3 Information and communication theory, circuits (94-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Probability theory and stochastic processes (60-XX) 2 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 History and biography (01-XX) 1 Combinatorics (05-XX) 1 Computer science (68-XX) 1 Fluid mechanics (76-XX) 1 Biology and other natural sciences (92-XX) Citations by Year