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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 <http://stat.umn.edu/~molst029> for details on the algorithm.

Version: 0.1.1
Imports: Rcpp
LinkingTo: Rcpp, RcppArmadillo
Published: 2015-08-26
Author: Aaron Molstad
Maintainer: Aaron Molstad <molst029 at umn.edu>
License: GPL-2
NeedsCompilation: yes
CRAN checks: FastBandChol results

Documentation:

Reference manual: FastBandChol.pdf

Downloads:

Package source: FastBandChol_0.1.1.tar.gz
Windows binaries: r-devel: FastBandChol_0.1.1.zip, r-release: FastBandChol_0.1.1.zip, r-oldrel: FastBandChol_0.1.1.zip
macOS binaries: r-release (arm64): FastBandChol_0.1.1.tgz, r-oldrel (arm64): FastBandChol_0.1.1.tgz, r-release (x86_64): FastBandChol_0.1.1.tgz, r-oldrel (x86_64): FastBandChol_0.1.1.tgz
Old sources: FastBandChol archive

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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