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.
|Author||Aaron Molstad <[email protected]>|
|Maintainer||Aaron Molstad <[email protected]>|
|Package repository||View on CRAN|
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