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FastBandChol: Fast Estimation of a Covariance Matrix by Banding the Cholesky Factor
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.
Getting started
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Package details |
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| Author | Aaron Molstad <molst029@umn.edu> |
| Maintainer | Aaron Molstad <molst029@umn.edu> |
| License | GPL-2 |
| Version | 0.1.1 |
| Package repository | View on CRAN |
| Installation |
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