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.

Install the latest version of this package by entering the following in R:
install.packages("FastBandChol")
AuthorAaron Molstad <molst029@umn.edu>
Date of publication2015-08-26 16:44:04
MaintainerAaron Molstad <molst029@umn.edu>
LicenseGPL-2
Version0.1.1

View on CRAN

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.