CovTools-package

Covariance is of universal prevalence across various disciplines within statistics.
CovTools package aims at providing a rich collection of geometric and statistical tools
for a variety of inferences on covariance structures. See the sections below for a comprehensive
list of functions provided from the package.

Covariance is of universal prevalence across various disciplines within statistics.
We provide a rich collection of geometric and inferential tools for convenient analysis of
covariance structures, topics including distance measures, mean covariance estimator,
covariance hypothesis test for one-sample and two-sample cases, and covariance estimation.
For an introduction to covariance in multivariate statistical analysis,
see Schervish (1987) <doi:10.1214/ss/1177013111>.

Kisung You

CovTools

Statistical Tools for Covariance Analysis

Kyoungjae Lee

Lizhen Lin

CovTools-package function

From inference on manifolds perspective, we have following functions,<table><tr><td>
name of a function </td>
<td> description </td>
</tr><tr><td>
<code><a rd-options="" href="/link/CovDist?package=CovTools&version=0.4.0" data-mini-rdoc="CovTools::CovDist">CovDist</a></code> </td>
<td> compute pairwise distance of covariance matrices </td>
</tr></table>

Geometric Methods

We provide statistical methods for
(1) Covariance Matrix Estimation,<table><tr><td>
name of a function</td>
<td> description </td>
</tr><tr><td>
<code><a rd-options="" href="/link/CovEst.adaptive?package=CovTools&version=0.4.0" data-mini-rdoc="CovTools::CovEst.adaptive">CovEst.adaptive</a></code> </td>
<td> Adaptive Thresholding </td>
</tr><tr><td>
<code><a rd-options="" href="/link/CovEst.hard?package=CovTools&version=0.4.0" data-mini-rdoc="CovTools::CovEst.hard">CovEst.hard</a></code> </td>
<td> Hard Thresholding </td>
</tr><tr><td>
<code><a rd-options="" href="/link/CovEst.hardPD?package=CovTools&version=0.4.0" data-mini-rdoc="CovTools::CovEst.hardPD">CovEst.hardPD</a></code> </td>
<td> Hard Thresholding under Positive-Definiteness Constraint </td>
</tr><tr><td>
<code><a rd-options="" href="/link/CovEst.nearPD?package=CovTools&version=0.4.0" data-mini-rdoc="CovTools::CovEst.nearPD">CovEst.nearPD</a></code> </td>
<td> Nearest Positive-Definite Matrix Projection </td>
</tr></table>(2) Precision Matrix Estimation<table><tr><td>
name of a function</td>
<td> description </td>
</tr><tr><td>
<code><a rd-options="" href="/link/PreEst.banded1?package=CovTools&version=0.4.0" data-mini-rdoc="CovTools::PreEst.banded1">PreEst.banded1</a></code> </td>
<td> Bayesian Estimation of a Banded Precision Matrix (Banerjee 2014) </td>
</tr><tr><td>
<code><a rd-options="" href="/link/PreEst.banded2?package=CovTools&version=0.4.0" data-mini-rdoc="CovTools::PreEst.banded2">PreEst.banded2</a></code> </td>
<td> Bayesian Estimation of a Banded Precision Matrix (Lee 2017) </td>
</tr><tr><td>
<code><a rd-options="" href="/link/PreEst.banded3?package=CovTools&version=0.4.0" data-mini-rdoc="CovTools::PreEst.banded3">PreEst.banded3</a></code> </td>
<td> Banded Precision Matrix Estimation via Bandwidth Test </td>
</tr></table>, and
(3) Hypothesis Tests<table><tr><td>
name of a function </td>
<td> description </td>
</tr><tr><td>
<code><a rd-options="" href="/link/CovTest1?package=CovTools&version=0.4.0" data-mini-rdoc="CovTools::CovTest1">CovTest1</a></code> </td>
<td> 1-sample tests for covariance matrix </td>
</tr></table>

name of a function	description
`CovDist`	compute pairwise distance of covariance matrices

name of a function	description
`CovEst.adaptive`	Adaptive Thresholding
`CovEst.hard`	Hard Thresholding
`CovEst.hardPD`	Hard Thresholding under Positive-Definiteness Constraint
`CovEst.nearPD`	Nearest Positive-Definite Matrix Projection

name of a function	description
`PreEst.banded1`	Bayesian Estimation of a Banded Precision Matrix (Banerjee 2014)
`PreEst.banded2`	Bayesian Estimation of a Banded Precision Matrix (Lee 2017)
`PreEst.banded3`	Banded Precision Matrix Estimation via Bandwidth Test

name of a function	description
`CovTest1`	1-sample tests for covariance matrix

CovTools-package: A Collection of Geometric and Statistical Tools for Covariance Analysis

Description

Arguments

Geometric Methods

Statistical methods