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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 |
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.
Health stats visible at Monitor.