simTargetCov

Data Transformation or Simulation with Empirical Covariance Matrix

CRAN Package

Transforms or simulates data with a target empirical covariance matrix supplied by the user. The method to obtain the data with the target empirical covariance matrix is described in Section 5.1 of Christidis, Van Aelst and Zamar (2019) doi:10.48550/arXiv.1812.05678.

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  • Imports1 package
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