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 |