
<!-- README.md is generated from README.Rmd. Please edit that file -->

# spcov

This R package implements the estimator introduced in [Bien, J., and
Tibshirani, R. (2011), “Sparse Estimation of a Covariance Matrix,”
Biometrika](https://academic.oup.com/biomet/article/98/4/807/234877).

The easiest way to install `spcov` is by using the
[devtools](https://CRAN.R-project.org/package=devtools) R package (if
not already installed, open R and type `install.packages("devtools")`).
To install `spcov`, type the following from an R console:

``` r
devtools::install_github("jacobbien/spcov")
```
