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FastBandChol (version 0.1.1)

Fast Estimation of a Covariance Matrix by Banding the Cholesky Factor

Description

Fast and numerically stable estimation of a covariance matrix by banding the Cholesky factor using a modified Gram-Schmidt algorithm implemented in RcppArmadilo. See for details on the algorithm.

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Version

Install

install.packages('FastBandChol')

Monthly Downloads

171

Version

0.1.1

License

GPL-2

Maintainer

Aaron Molstad

Last Published

August 26th, 2015

Functions in FastBandChol (0.1.1)

FastBandChol-package

Fast estimation of covariance matrix by banded Cholesky factor
banded.chol

Computes estimate of covariance matrix by banding the Cholesky factor
banded.sample

Computes banded sample covariance matrix
banded.sample.cv

Selects bandwidth for sample covariance matrix by cross validation
banded.chol.cv

Selects bandwidth for Cholesky factorization by cross validation