robsel

An R package of algorithms for estimation of the graphical lasso regularization parameter.

Accompanying papers:

Pedro Cisneros-Velarde, Sang-Yun Oh, and Alexander Petersen (2020). Distributionally Robust Formulation and Model Selection for the Graphical Lasso. Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics. [PMLR][Papers with Code]

Chau Tran, Pedro Cisneros-Velarde, Sang-Yun Oh, and Alexander Petersen (2022). Family-wise error rate control in Gaussian graphical model selection via distributionally robust optimization. Stat 11(1). [journal]

Installation

To install from CRAN

install.packages("robsel")

Vignette

Vignette is available at article “Using the robsel package”.