pdSpecEst (version 1.2.6)
An Analysis Toolbox for Hermitian Positive Definite Matrices
Description
An implementation of data analysis tools for samples of symmetric or
Hermitian positive definite matrices, such as collections of covariance matrices
or spectral density matrices. The tools in this package can be used to perform: (i)
intrinsic wavelet transforms for curves (1D) or surfaces (2D) of Hermitian positive
definite matrices with applications to dimension reduction, denoising and clustering in the
space of Hermitian positive definite matrices; and (ii) exploratory data analysis and inference
for samples of positive definite matrices by means of intrinsic data depth functions and
rank-based hypothesis tests in the space of Hermitian positive definite matrices.