README.md

In CovTools: Statistical Tools for Covariance Analysis

CovTools

Covariance is of universal prevalence across various disciplines within statistics. This package aims at providing a rich collection of geometric and statistical tools for a variety of inferences on covariance structures as well as its inverse called precision matrix. See the package help file by help("package-CovTools") in R console for the list of available functions.

Installation

You can install the released version of CovTools from CRAN with:

install.packages("CovTools")

or the development version from github:

## install.packages("devtools")
## library(devtools)
devtools::install_github("kisungyou/CovTools")

List of Available Methods

We offer various methods for covariance and symmetric positive-definite matrices. Below is the list of functions implemented in our package.

(0) Elementary Operations

| function name | description | |---------------|:--------------------------------------------------------------------| | CovDist | computes pairwise distance for symmetric positive-definite matrices | | CovMean | estimate mean/average covariance matrix |

(1) Estimation : Covariance

| function name | authors | description | |-------------------|---------------------------|:---------------------------------------------------------| | CovEst.adaptive | Cai and Liu (2011) | adaptive thresholding | | CovEst.hard | Bickel and Levina (2008) | hard thresholding | | CovEst.hardPD | Fan et al. (2013) | hard thresholding under positive-definiteness constraint | | CovEst.nearPD | Qi and Sun (2006) | nearest positive-definite matrix projection | | CovEst.soft | Antoniadis and Fan (2001) | soft thresholding | | CovEst.2003LW | Ledoit and Wolf (2003) | linear shrinkage estimation | | CovEst.2010OAS | Chen et al. (2010) | oracle approximation shrinkage | | CovEst.2010RBLW | Chen et al. (2010) | Rao-Blackwell Ledoit-Wolf estimation |

(2) Estimation : Precision

| function name | authors | description | |-----------------------|----------------------------|:-------------------------------------------------| | PreEst.2014An | An et al. (2014) | banded precision estimation via bandwidth test | | PreEst.2014Banerjee | Banerjee and Ghosal (2014) | Bayesian estimation of a banded precision matrix | | PreEst.2017Lee | Lee and Lee (2017) | Bayesian estimation of a banded precision matrix | | PreEst.glasso | Friedman et al. (2008) | graphical lasso |

(3) Hypothesis Test : 1-sample

| function name | authors | description | |---------------------------|--------------------------|:--------------------------------------------------| | BCovTeset1.mxPBF | Lee et al. (2018) | Bayesian test using Maximum Pairwise Bayes Factor | | CovTest1.2013Cai | Cai and Ma (2013) | Test by Cai and Ma | | CovTest1.2014Srivastava | Srivastava et al. (2014) | Test by Srivastava, Yanagihara, and Kubokawa |

(4) Hypothesis Test : 2-sample

| function name | authors | description | |--------------------|-------------------|:-------------------| | CovTest2.2013Cai | Cai and Ma (2013) | Test by Cai and Ma |

(5) Hypothesis Test : 1-sample Diagonal

| function name | authors | description | |---------------------|----------------------|:--------------------------------------------------| | BDiagTest1.mxPBF | Lee et al. (2018) | Bayesian Test using Maximum Pairwise Bayes Factor | | DiagTest1.2011Cai | Cai and Jiang (2011) | Test by Cai and Jiang | | DiagTest1.2015Lan | Lan et al. (2015) | Test by Lan, Luo, Tsai, Wang, and Yang |

CovTools documentation built on Nov. 5, 2025, 5:35 p.m.