taylerablake/smoothcholesky: Nonparametric estimation of a covariance matrix via Cholesky decomposition

Contains functions for nonparametric estimation of the bivariate function defining the elements of the modified Cholesky decomposition of the inverse covariance matrix. The function defining the elements of the Cholesky decomposition corresponds to the varying coefficient function when regressing an observation y_t from a longitudinal vector on its predecessors. Thin plate splines are used to model the varying coefficient function.

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Package details

AuthorTayler A. Blake
MaintainerTayler A. Blake <[email protected]>
LicenseWhat license is it under?
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
taylerablake/smoothcholesky documentation built on Sept. 10, 2017, 4:36 a.m.