Covariance is 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.
Installation
You can install the released version of CovTools from CRAN with:
install.packages("CovTools")
or the development version from github:
## install.packages("devtools")
## library(devtools)
devtools::install_github("kisungyou/CovTools")
List of Available Methods
We offer various methods for covariance and symmetric positive-definite matrices. Below is the list of functions implemented in our package.
(0) Elementary Operations
CovDist |
computes pairwise distance for symmetric positive-definite matrices |
CovMean |
estimate mean/average covariance matrix |
(1) Estimation : Covariance
CovEst.adaptive |
Cai and Liu (2011) |
adaptive thresholding |
CovEst.hard |
Bickel and Levina (2008) |
hard thresholding |
CovEst.hardPD |
Fan et al. (2013) |
hard thresholding under positive-definiteness constraint |
CovEst.nearPD |
Qi and Sun (2006) |
nearest positive-definite matrix projection |
CovEst.soft |
Antoniadis and Fan (2001) |
soft thresholding |
CovEst.2003LW |
Ledoit and Wolf (2003) |
linear shrinkage estimation |
CovEst.2010OAS |
Chen et al. (2010) |
oracle approximation shrinkage |
CovEst.2010RBLW |
Chen et al. (2010) |
Rao-Blackwell Ledoit-Wolf estimation |
(2) Estimation : Precision
PreEst.2014An |
An et al. (2014) |
banded precision estimation via bandwidth test |
PreEst.2014Banerjee |
Banerjee and Ghosal (2014) |
Bayesian estimation of a banded precision matrix |
PreEst.2017Lee |
Lee and Lee (2017) |
Bayesian estimation of a banded precision matrix |
PreEst.glasso |
Friedman et al. (2008) |
graphical lasso |
(3) Hypothesis Test : 1-sample
BCovTeset1.mxPBF |
Lee et al. (2018) |
Bayesian test using Maximum Pairwise Bayes Factor |
CovTest1.2013Cai |
Cai and Ma (2013) |
Test by Cai and Ma |
CovTest1.2014Srivastava |
Srivastava et al. (2014) |
Test by Srivastava, Yanagihara, and Kubokawa |
(4) Hypothesis Test : 2-sample
CovTest2.2013Cai |
Cai and Ma (2013) |
Test by Cai and Ma |
(5) Hypothesis Test : 1-sample Diagonal
BDiagTest1.mxPBF |
Lee et al. (2018) |
Bayesian Test using Maximum Pairwise Bayes Factor |
DiagTest1.2011Cai |
Cai and Jiang (2011) |
Test by Cai and Jiang |
DiagTest1.2015Lan |
Lan et al. (2015) |
Test by Lan, Luo, Tsai, Wang, and Yang |