FastBandChol: Fast Estimation of a Covariance Matrix by Banding the Cholesky Factor
Version 0.1.1

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.

Package details

AuthorAaron Molstad <molst029@umn.edu>
Date of publication2015-08-26 16:44:04
MaintainerAaron Molstad <molst029@umn.edu>
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 29, 2017, 5:12 p.m.