Statistical Tools for Covariance Analysis

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Documentation for package ‘CovTools’ version 0.3.0

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CovTools-package A Collection of Geometric and Statistical Tools for Covariance Analysis
CovDist Compute pairwise distance for symmetric positive definite matrices.
CovEst.adaptive Covariance Estimation via Adaptive Thresholding
CovEst.hard Covariance Estimation via Hard Thresholding
CovEst.hardPD Covariance Estimation via Hard Thresholding under Positive-Definiteness Constraint
CovEst.nearPD Covariance Estimation via Nearest Positive-Definite Matrix Projection
CovEst.soft Covariance Estimation via Soft Thresholding
CovMean Estimate mean covariance matrix
CovTest1 One-Sample Tests for Covariance Matrices
CovTest2 Two-Sample Tests for Covariance Matrices
PreEst.banded1 Bayesian Estimation of a Banded Precision Matrix (Banerjee 2014)
PreEst.banded2 Bayesian Estimation of a Banded Precision Matrix (Lee 2017)
PreEst.banded3 Banded Precision Matrix Estimation via Bandwidth Test
PreEst.glasso Precision Matrix Estimation via Graphical Lasso
samplecovs Generate Sample Covariances of 2 groups