knitr::opts_chunk$set( collapse = TRUE, comment = "#>", fig.path = "man/figures/README-", out.width = "88%" )
Covariance is of universal prevalence across various disciplines within statistics.
This package aims at providing a rich collection of geometric and statistical tools for a variety of inferences on covariance structures as well as its inverse called precision matrix. See the package help file by help("package-CovTools")
in R console for the list of available functions.
You can install the released version of CovTools from CRAN with:
install.packages("CovTools")
or the development version from github:
## install.packages("devtools") ## library(devtools) devtools::install_github("kisungyou/CovTools")
We offer various methods for covariance and symmetric positive-definite matrices. Below is the list of functions implemented in our package.
| function name | description |
|---------------|:-------------------|
| CovDist
| computes pairwise distance for symmetric positive-definite matrices |
| CovMean
| estimate mean/average covariance matrix |
| function name | authors | description |
|---------------|------------------|:-------------------|
| CovEst.adaptive
| Cai and Liu (2011) | adaptive thresholding |
| CovEst.hard
| Bickel and Levina (2008) | hard thresholding |
| CovEst.hardPD
| Fan et al. (2013) | hard thresholding under positive-definiteness constraint |
| CovEst.nearPD
| Qi and Sun (2006) | nearest positive-definite matrix projection |
| CovEst.soft
| Antoniadis and Fan (2001) | soft thresholding |
| CovEst.2003LW
| Ledoit and Wolf (2003) | linear shrinkage estimation |
| CovEst.2010OAS
| Chen et al. (2010) | oracle approximation shrinkage |
| CovEst.2010RBLW
| Chen et al. (2010)| Rao-Blackwell Ledoit-Wolf estimation |
| function name | authors | description |
|---------------|------------------|:-------------------|
| PreEst.2014An
| An et al. (2014) | banded precision estimation via bandwidth test |
| PreEst.2014Banerjee
| Banerjee and Ghosal (2014) | Bayesian estimation of a banded precision matrix |
| PreEst.2017Lee
| Lee and Lee (2017) | Bayesian estimation of a banded precision matrix |
| PreEst.glasso
| Friedman et al. (2008) | graphical lasso |
| function name | authors | description |
|---------------|------------------|:-------------------|
| BCovTeset1.mxPBF
| Lee et al. (2018) | Bayesian test using Maximum Pairwise Bayes Factor |
| CovTest1.2013Cai
| Cai and Ma (2013) | Test by Cai and Ma |
| CovTest1.2014Srivastava
| Srivastava et al. (2014) | Test by Srivastava, Yanagihara, and Kubokawa |
| function name | authors | description |
|---------------|------------------|:-------------------|
| CovTest2.2013Cai
| Cai and Ma (2013) | Test by Cai and Ma |
| function name | authors | description |
|---------------|------------------|:-------------------|
| BDiagTest1.mxPBF
| Lee et al. (2018)| Bayesian Test using Maximum Pairwise Bayes Factor |
| DiagTest1.2011Cai
| Cai and Jiang (2011) | Test by Cai and Jiang |
| DiagTest1.2015Lan
| Lan et al. (2015) | Test by Lan, Luo, Tsai, Wang, and Yang |
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