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 <> for details on the algorithm.

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AuthorAaron Molstad <>
Date of publication2015-08-26 16:44:04
MaintainerAaron Molstad <>

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