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.

Package details

AuthorAaron Molstad <>
MaintainerAaron Molstad <>
Package repositoryView on CRAN
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FastBandChol documentation built on May 2, 2019, 3:41 a.m.