FastBandChol

Fast Estimation of a Covariance Matrix by Banding the Cholesky Factor

CRAN Package

Fast and numerically stable estimation of a covariance matrix by banding the Cholesky factor using a modified Gram-Schmidt algorithm implemented in RcppArmadilo. See http://stat.umn.edu/~molst029 for details on the algorithm.

  • Version0.1.1
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?Yes
  • Last release08/26/2015

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  • Imports1 package
  • Linking To2 packages