rags2ridges: A One-Stop-ℓ2-Shop for Graphical Modeling of High-Dimensional Precision Matrices

Abstract

A graphical model is an undirected network representing the conditional independence properties between random variables. Graphical modeling has become part and parcel of systems or network approaches to multivariate data, in particular when the variable dimension exceeds the observation dimension. rags2ridges is an R package for graphical modeling of high-dimensional precision matrices through ridge (ℓ₂) penalties. It provides a modular framework for the extraction, visualization, and analysis of Gaussian graphical models from high-dimensional data. Moreover, it can handle the incorporation of prior information as well as multiple heterogeneous data classes. As such, it provides a one-stop-ℓ₂-shop for graphical modeling of high-dimensional precision matrices. The functionality of the package is illustrated with an example dataset pertaining to blood-based metabolite measurements in persons suffering from Alzheimer's disease.