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") List of Available Methods
We offer various methods for covariance and symmetric positive-definite matrices. Below is the list of functions implemented in our package.
(0) Elementary Operations function name descriptionCovDist computes pairwise distance for symmetric positive-definite matrices CovMean estimate mean/average covariance matrix (1) Estimation : Covariance 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 (2) Estimation : Precision 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 (3) Hypothesis Test : 1-sample 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 (4) Hypothesis Test : 2-sample function name authors description CovTest2.2013Cai Cai and Ma (2013) Test by Cai and Ma (5) Hypothesis Test : 1-sample Diagonal 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
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