Statistical Tools for Covariance Analysis

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Documentation for package ‘CovTools’ version 0.5.4

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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