JGL package

This package runs the Joint Graphical Lasso (JGL) method for estimating sparse inverse covariance matrices across multiple similar datasets.


Danaher P, Wang P, Witten DM. The joint graphical lasso for inverse covariance estimation across multiple classes. Journal of the Royal Statistical Society: Series B (Statistical Methodology). 2014 Mar 1;76(2):373-97.

Install the package from CRAN with install.packages(“JGL”)