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I am using glasso for variable selection. To get the best possible value of lambda cross validation is recommended. However, I am not able to find how to perform cross validation for glasso in R. Methods for lasso are variable that require both dependent and independent variables. However, I have only a set of large variable and I am using glasso to build a sparse network of the variables to observe conditional dependencies.

I found on google search a package called cv.glasso. however, I found that it was only description and not the actual package. One package that I found somewhere else is not working.

Any help would be appreciated.

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There is some python code which does this well in my experience. You might be able to call this directly or rewrite it in R.

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