Estimation of Large Block Covariance Matrices

Computation of large covariance matrices having a block structure up to a permutation of their columns and rows from a small number of samples with respect to the dimension of the matrix. For further details we refer the reader to the paper Perrot-Dockes and Lévy-Leduc (2018), .


Reference manual

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0.1.0 by Marie Perrot-Dockès, 9 months ago

Browse source code at

Authors: M. Perrot-Dockès , C. Lévy-Leduc

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Matrix, stats

Suggests knitr

See at CRAN