Package: CovTools 0.5.5

CovTools: 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) <doi:10.1214/ss/1177013111>.

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

CovTools_0.5.5.tar.gz
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CovTools.pdf |CovTools.html✨
CovTools/json (API)
NEWS

# Install 'CovTools' in R:
install.packages('CovTools', repos = c('https://kisungyou.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/kisungyou/covtools/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3

On CRAN:

covariancecovariance-estimation

4.49 score 13 stars 47 scripts 323 downloads 22 exports 53 dependencies

Last updated 1 years agofrom:f479d4d82f. Checks:OK: 1 NOTE: 8. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 02 2024
R-4.5-win-x86_64NOTENov 02 2024
R-4.5-linux-x86_64NOTENov 02 2024
R-4.4-win-x86_64NOTENov 02 2024
R-4.4-mac-x86_64NOTENov 02 2024
R-4.4-mac-aarch64NOTENov 02 2024
R-4.3-win-x86_64NOTENov 02 2024
R-4.3-mac-x86_64NOTENov 02 2024
R-4.3-mac-aarch64NOTENov 02 2024

Exports:BCovTest1.mxPBFBDiagTest1.mxPBFCovDistCovEst.2003LWCovEst.2010OASCovEst.2010RBLWCovEst.adaptiveCovEst.hardCovEst.hardPDCovEst.nearPDCovEst.softCovMeanCovTest1.2013CaiCovTest1.2014SrivastavaCovTest2.2013CaiDiagTest1.2011CaiDiagTest1.2015LanPreEst.2014AnPreEst.2014BanerjeePreEst.2017LeePreEst.glassosamplecovs

Dependencies:base64encbslibcachemclicodetoolscpp11digestdoParallelevaluateexpmfastmapflarefontawesomeforeachfsgeigengluehighrhtmltoolshtmlwidgetsigraphiteratorsjquerylibjsonliteknitrlatticelifecyclemagrittrMASSMatrixmemoisemimeminpack.lmmvtnormpkgconfigpracmaR6rappdirsrbibutilsRcppRcppArmadilloRdpackrglrlangrmarkdownsassscatterplot3dshapesSHTtinytexvctrsxfunyaml

Readme and manuals

Help Manual

Help pageTopics
One-Sample Covariance Test using Maximum Pairwise Bayes FactorBCovTest1.mxPBF
One-Sample Diagonality Test by Maximum Pairwise Bayes FactorBDiagTest1.mxPBF
Compute Pairwise Distance for Symmetric Positive-Definite MatricesCovDist
Covariance Estimation with Linear ShrinkageCovEst.2003LW
Oracle Approximating Shrinkage EstimatorCovEst.2010OAS
Rao-Blackwell Ledoit-Wolf EstimatorCovEst.2010RBLW
Covariance Estimation via Adaptive ThresholdingCovEst.adaptive
Covariance Estimation via Hard ThresholdingCovEst.hard
Covariance Estimation via Hard Thresholding under Positive-Definiteness ConstraintCovEst.hardPD
Covariance Estimation via Nearest Positive-Definite Matrix ProjectionCovEst.nearPD
Covariance Estimation via Soft ThresholdingCovEst.soft
Estimate Mean Covariance MatrixCovMean
One-Sample Covariance Test by Cai and Ma (2013)CovTest1.2013Cai
One-Sample Covariance Test by Srivastava, Yanagihara, and Kubokawa (2014)CovTest1.2014Srivastava
Two-Sample Covariance Test by Cai and Ma (2013)CovTest2.2013Cai
One-Sample Diagonality Test by Cai and Jiang (2011)DiagTest1.2011Cai
One-Sample Diagonality Test by Lan et al. (2015)DiagTest1.2015Lan
A Collection of Geometric and Statistical Tools for Covariance (and Precision) AnalysisCovTools-package package-CovTools
Banded Precision Matrix Estimation via Bandwidth TestPreEst.2014An
Bayesian Estimation of a Banded Precision Matrix (Banerjee 2014)PreEst.2014Banerjee
Bayesian Estimation of a Banded Precision Matrix (Lee 2017)PreEst.2017Lee
Precision Matrix Estimation via Graphical LassoPreEst.glasso
Generate Sample Covariances of 2 groupssamplecovs