ca2cm

Reshape a covariance array to a covariance matrix.

Matrix-variate covariance estimation via the Kronecker-core decomposition. Computes the Kronecker and core covariance matrices corresponding to an arbitrary covariance matrix, and provides an empirical Bayes covariance estimator that adaptively shrinks towards the space of separable covariance matrices. For details, see Hoff, McCormack and Zhang (2022) <arXiv:2207.12484> "Core Shrinkage Covariance Estimation for Matrix-variate data".

Peter Hoff

covKCD

Covariance Estimation for Matrix Data with the Kronecker-Core
Decomposition

ca2cm function

<dl><dt>A</dt>
<dd>a covariance array of dimension p1*p2*p1*p2.</dd></dl>

Arguments

Author

Covariance array to covariance matrix — ca2cm

<dl>

<dt>A</dt>
<dd>a covariance array of dimension p1*p2*p1*p2.</dd>

</dl>

ca2cm: Covariance array to covariance matrix

Description

Usage

Value

Arguments

Author

Examples