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Description

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>.

CovTools

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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

function namedescription
CovDistcomputes pairwise distance for symmetric positive-definite matrices
CovMeanestimate mean/average covariance matrix

(1) Estimation : Covariance

function nameauthorsdescription
CovEst.adaptiveCai and Liu (2011)adaptive thresholding
CovEst.hardBickel and Levina (2008)hard thresholding
CovEst.hardPDFan et al. (2013)hard thresholding under positive-definiteness constraint
CovEst.nearPDQi and Sun (2006)nearest positive-definite matrix projection
CovEst.softAntoniadis and Fan (2001)soft thresholding
CovEst.2003LWLedoit and Wolf (2003)linear shrinkage estimation
CovEst.2010OASChen et al. (2010)oracle approximation shrinkage
CovEst.2010RBLWChen et al. (2010)Rao-Blackwell Ledoit-Wolf estimation

(2) Estimation : Precision

function nameauthorsdescription
PreEst.2014AnAn et al. (2014)banded precision estimation via bandwidth test
PreEst.2014BanerjeeBanerjee and Ghosal (2014)Bayesian estimation of a banded precision matrix
PreEst.2017LeeLee and Lee (2017)Bayesian estimation of a banded precision matrix
PreEst.glassoFriedman et al. (2008)graphical lasso

(3) Hypothesis Test : 1-sample

function nameauthorsdescription
BCovTeset1.mxPBFLee et al. (2018)Bayesian test using Maximum Pairwise Bayes Factor
CovTest1.2013CaiCai and Ma (2013)Test by Cai and Ma
CovTest1.2014SrivastavaSrivastava et al. (2014)Test by Srivastava, Yanagihara, and Kubokawa

(4) Hypothesis Test : 2-sample

function nameauthorsdescription
CovTest2.2013CaiCai and Ma (2013)Test by Cai and Ma

(5) Hypothesis Test : 1-sample Diagonal

function nameauthorsdescription
BDiagTest1.mxPBFLee et al. (2018)Bayesian Test using Maximum Pairwise Bayes Factor
DiagTest1.2011CaiCai and Jiang (2011)Test by Cai and Jiang
DiagTest1.2015LanLan et al. (2015)Test by Lan, Luo, Tsai, Wang, and Yang.
Metadata

Version

0.5.4

License

Unknown

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