• tsglasso - R package to estimate time series graphical lasso and sparse VAR as described in Dallakyan et. al 2022.
• SC - R package to estimate large nonstationary covariance matrices of replicated time series as described in Dallakyan and Pourahmadi 2022.
• graphiclasso - Stata package to implement graphical lasso algorithm. Also, see Dallakyan 2022.
• iforest - Stata package to implement isolation forest algorithm.