Statistical Tools for Covariance Analysis

Covariance is of universal prevalence across various disciplines within statistics. We provide a rich collection of geometric and inferential tools for convenient analysis of covariance structures, topics including distance measures, mean covariance estimator, covariance hypothesis test for one-sample and two-sample cases, and covariance estimation. For an introduction to covariance in multivariate statistical analysis, see Schervish (1987) .

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Covariance are 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:


or the development version from github:

## library(devtools)


Reference manual

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0.5.3 by Kisung You, a year ago

Browse source code at

Authors: Kyoungjae Lee [aut] , Lizhen Lin [ctb] , Kisung You [aut, cre]

Documentation:   PDF Manual  

GPL (>= 3) license

Imports Rcpp, geigen, shapes, expm, mvtnorm, stats, Matrix, doParallel, foreach, parallel, pracma, Rdpack, utils, SHT

Linking to Rcpp, RcppArmadillo

See at CRAN