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PDSCE (version 1.2.1)

Positive Definite Sparse Covariance Estimators

Description

Compute and tune some positive definite and sparse covariance estimators.

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Version

Install

install.packages('PDSCE')

Monthly Downloads

214

Version

1.2.1

License

GPL-2

Maintainer

Adam Rothman

Last Published

June 23rd, 2022

Functions in PDSCE (1.2.1)

pdsoft

A permutation invariant positive definite and sparse covariance matrix estimate
band.chol.cv

Banding parameter selection for banding the covariance Cholesky factor.
PDSCE-package

Positive definite sparse covariance estimators
pdsoft.cv

Tuning parameter selection and computation for the positive definite and sparse covariance matrix estimator
band.chol

Computes the banded covariance estimator by banding the covariance Cholesky factor