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spcov

This R package implements the estimator introduced in Bien, J., and Tibshirani, R. (2011), “Sparse Estimation of a Covariance Matrix,” Biometrika.

The easiest way to install spcov is by using the devtools R package (if not already installed, open R and type install.packages("devtools")). To install spcov, type the following from an R console:

devtools::install_github("jacobbien/spcov")

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.