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https://github.com/kisungyou/covtools
Statistical Tools for Covariance Analysis
https://github.com/kisungyou/covtools
covariance covariance-estimation r
Last synced: 2 months ago
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Statistical Tools for Covariance Analysis
- Host: GitHub
- URL: https://github.com/kisungyou/covtools
- Owner: kisungyou
- Created: 2018-02-04T04:08:13.000Z (almost 7 years ago)
- Default Branch: master
- Last Pushed: 2023-08-20T20:04:55.000Z (over 1 year ago)
- Last Synced: 2024-10-12T18:00:12.866Z (2 months ago)
- Topics: covariance, covariance-estimation, r
- Language: R
- Homepage: https://cran.r-project.org/web/packages/CovTools/index.html
- Size: 23.6 MB
- Stars: 13
- Watchers: 2
- Forks: 6
- Open Issues: 2
-
Metadata Files:
- Readme: README.Rmd
Awesome Lists containing this project
README
---
output: github_document
---
```{r setup, include = FALSE}
knitr::opts_chunk$set(
collapse = TRUE,
comment = "#>",
fig.path = "man/figures/README-",
out.width = "88%"
)
```
# CovTools
[](https://cran.r-project.org/package=CovTools)
[](https://cran.r-project.org/package=CovTools)
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](https://CRAN.R-project.org) with:
``` r
install.packages("CovTools")
```
or the development version from github:
```r
## 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
| function name | description |
|---------------|:-------------------|
| `CovDist` | computes pairwise distance for symmetric positive-definite matrices |
| `CovMean` | estimate mean/average covariance matrix |
### (1) Estimation : Covariance
| function name | authors | description |
|---------------|------------------|:-------------------|
| `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
| function name | authors | description |
|---------------|------------------|:-------------------|
| `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
| function name | authors | description |
|---------------|------------------|:-------------------|
| `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
| function name | authors | description |
|---------------|------------------|:-------------------|
| `CovTest2.2013Cai` | Cai and Ma (2013) | Test by Cai and Ma |
### (5) Hypothesis Test : 1-sample Diagonal
| function name | authors | description |
|---------------|------------------|:-------------------|
| `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 |