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Showing content from https://github.com/statjs/bspcov below:

statjs/bspcov: Bayesian Sparse Estimation of a Covariance Matrix

An R package for Bayesian Sparse Estimation of a Covariance Matrix

To build the package from source, you need to have the following:

# lock the renv
pkgs <- c("GIGrvg", "coda", "progress", "BayesFactor", "MASS", "mvnfast", "matrixcalc", "matrixStats", "purrr", "dplyr", "RSpectra", "Matrix", "plyr", "CholWishart", "magrittr", "future", "furrr", "ks", "ggplot2", "ggmcmc", "caret", "FinCovRegularization", "mvtnorm")
renv::snapshot(packages = pkgs)

# update docs
devtools::document()

## check package
VERSION=$(git describe --tags | sed 's/v//g')

## build manual
R CMD Rd2pdf --force --no-preview -o bspcov-manual.pdf .

## build package
sed -i '' "s/Version: [^\"]*/Version: ${VERSION}/g" "DESCRIPTION"
R CMD build .

You can install the bspcov package from CRAN:

install.packages("bspcov")

or the development version from GitHub, by using the function install_github() from devtools package:

devtools::install_github("statjs/bspcov", ref = "main")

• Lee, K., Jo, S., & Lee, J. (2022). The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate. Journal of Multivariate Analysis, 192, 105067, DOI: 10.1016/j.jmva.2022.105067.
• Lee, K., Jo, S., Lee, K., & Lee, J. (2024). Scalable and optimal Bayesian inference for sparse covariance matrices via screened beta-mixture prior. Bayesian Analysis, 1(1), 1-28, DOI: 10.1214/24-BA1495.
• Lee, K., Lee, K., & Lee, J. (2023). Post-processed posteriors for banded covariances. Bayesian Analysis, 18(3), 1017-1040, DOI: 10.1214/22-BA1333.
• Lee, K., & Lee, J. (2023). Post-processed posteriors for sparse covariances. Journal of Econometrics, 236(1), 105475, DOI: 10.1016/j.jeconom.2023.105475.

This work was supported by the National Research Foundation of Korea(NRF) grant funded by the Korea government(MSIT)
(RS-2023-00211979, NRF-2022R1A5A7033499, NRF-2020R1A4A1018207, and NRF-2020R1C1C1A01013338)

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