EMgaussian

Initially designed to distribute code for estimating the Gaussian graphical model with Lasso regularization, also known as the graphical lasso (glasso), using an Expectation-Maximization (EM) algorithm based on work by Städler and Bühlmann (2012) doi:10.1007/s11222-010-9219-7. As a byproduct, code for estimating means and covariances (or the precision matrix) under a multivariate normal (Gaussian) distribution is also available.