FastStepGraph
A Fast Algorithm for Sparse Precision Matrix Estimation
v0.1.1
·
Oct 12, 2023
·
MIT + file LICENSE
Description
It implements an improved and computationally faster version of the original Stepwise Gaussian Graphical Algorithm for estimating the Omega precision matrix from high-dimensional data. Zamar, R., Ruiz, M., Lafit, G. and Nogales, J. (2021) <doi:10.52933/jdssv.v1i2.11>.
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