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.

Package details

AuthorAaron Molstad <[email protected]>
MaintainerAaron Molstad <[email protected]>
LicenseGPL-2
Version0.1.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("FastBandChol")

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FastBandChol documentation built on May 2, 2019, 3:41 a.m.