Fast Estimation of a Covariance Matrix by Banding the Cholesky Factor

Fast and numerically stable estimation of a covariance matrix by banding the Cholesky factor using a modified Gram-Schmidt algorithm implemented in RcppArmadilo. See < http://stat.umn.edu/~molst029> for details on the algorithm.


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install.packages("FastBandChol")

0.1.1 by Aaron Molstad, 3 years ago


Browse source code at https://github.com/cran/FastBandChol


Authors: Aaron Molstad <[email protected]>


Documentation:   PDF Manual  


GPL-2 license


Imports Rcpp

Linking to Rcpp, RcppArmadillo


See at CRAN