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. The method is described in the paper Perrot-Dockès et al. (2019) .


Reference manual

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0.1.1 by Marie Perrot-Dockès, a year ago

Browse source code at

Authors: M. Perrot-Dock\`es , C. Lévy-Leduc

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Matrix, stats, Rdpack, BBmisc, dplyr, tibble, magrittr, rlang

Suggests knitr

See at CRAN