Covariance Estimation for Matrix Data with the Kronecker-Core Decomposition

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Documentation for package ‘covKCD’ version 0.1

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ca2cm Covariance array to covariance matrix
cm2ca Covariance matrix to covariance array
covCSE Empirical Bayes core shrinkage covariance estimator
covKCD Kronecker-core covariance decomposition
lmvgamma Log multivariate gamma function
mcov Matrix-variate covariance matrix
msqrt Symmetric square root of a matrix
msqrtInv Inverse symmetric square root of a matrix