FastBandChol: Fast Estimation of a Covariance Matrix by Banding the Cholesky Factor

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Fast and numerically stable estimation of a covariance matrix by banding the Cholesky factor using a modified Gram-Schmidt algorithm implemented in RcppArmadilo. See <http://stat.umn.edu/~molst029> for details on the algorithm.

Author
Aaron Molstad <molst029@umn.edu>
Date of publication
2015-08-26 16:44:04
Maintainer
Aaron Molstad <molst029@umn.edu>
License
GPL-2
Version
0.1.1

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Man pages

Banded.Chol
Computes estimate of covariance matrix by banding the...
Banded.Chol.CV
Selects bandwidth for Cholesky factorization by cross...
Banded.Sample
Computes banded sample covariance matrix
Banded.Sample.CV
Selects bandwidth for sample covariance matrix by cross...
FastBandChol-package
Fast estimation of covariance matrix by banded Cholesky...

Files in this package

FastBandChol
FastBandChol/src
FastBandChol/src/Makevars
FastBandChol/src/Mod_GS_Banded.cpp
FastBandChol/src/RcppExports.cpp
FastBandChol/NAMESPACE
FastBandChol/R
FastBandChol/R/Banded_Chol_CV.R
FastBandChol/R/Banded_Chol.R
FastBandChol/R/RcppExports.R
FastBandChol/R/Banded_Sample.R
FastBandChol/R/Banded_Sample_CV.R
FastBandChol/MD5
FastBandChol/DESCRIPTION
FastBandChol/man
FastBandChol/man/Banded.Sample.Rd
FastBandChol/man/Banded.Chol.CV.Rd
FastBandChol/man/Banded.Sample.CV.Rd
FastBandChol/man/Banded.Chol.Rd
FastBandChol/man/FastBandChol-package.Rd