BCovTest1.mxPBF |
One-Sample Covariance Test using Maximum Pairwise Bayes Factor |
BDiagTest1.mxPBF |
One-Sample Diagonality Test by Maximum Pairwise Bayes Factor |
CovDist |
Compute Pairwise Distance for Symmetric Positive-Definite Matrices |
CovEst.2003LW |
Covariance Estimation with Linear Shrinkage |
CovEst.2010OAS |
Oracle Approximating Shrinkage Estimator |
CovEst.2010RBLW |
Rao-Blackwell Ledoit-Wolf Estimator |
CovEst.adaptive |
Covariance Estimation via Adaptive Thresholding |
CovEst.hard |
Covariance Estimation via Hard Thresholding |
CovEst.hardPD |
Covariance Estimation via Hard Thresholding under Positive-Definiteness Constraint |
CovEst.nearPD |
Covariance Estimation via Nearest Positive-Definite Matrix Projection |
CovEst.soft |
Covariance Estimation via Soft Thresholding |
CovMean |
Estimate Mean Covariance Matrix |
CovTest1.2013Cai |
One-Sample Covariance Test by Cai and Ma (2013) |
CovTest1.2014Srivastava |
One-Sample Covariance Test by Srivastava, Yanagihara, and Kubokawa (2014) |
CovTest2.2013Cai |
Two-Sample Covariance Test by Cai and Ma (2013) |
DiagTest1.2011Cai |
One-Sample Diagonality Test by Cai and Jiang (2011) |
DiagTest1.2015Lan |
One-Sample Diagonality Test by Lan et al. (2015) |
package-CovTools |
A Collection of Geometric and Statistical Tools for Covariance (and Precision) Analysis |
PreEst.2014An |
Banded Precision Matrix Estimation via Bandwidth Test |
PreEst.2014Banerjee |
Bayesian Estimation of a Banded Precision Matrix (Banerjee 2014) |
PreEst.2017Lee |
Bayesian Estimation of a Banded Precision Matrix (Lee 2017) |
PreEst.glasso |
Precision Matrix Estimation via Graphical Lasso |
samplecovs |
Generate Sample Covariances of 2 groups |