FastBandChol: Fast Estimation of a Covariance Matrix by Banding the Cholesky Factor

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.

Version: 0.1.1
Imports: Rcpp
LinkingTo: Rcpp, RcppArmadillo
Published: 2015-08-26
Author: Aaron Molstad
Maintainer: Aaron Molstad <molst029 at umn.edu>
License: GPL-2
NeedsCompilation: yes
CRAN checks: FastBandChol results

Downloads:

Reference manual: FastBandChol.pdf
Package source: FastBandChol_0.1.1.tar.gz
Windows binaries: r-devel: FastBandChol_0.1.1.zip, r-release: FastBandChol_0.1.1.zip, r-oldrel: FastBandChol_0.1.1.zip
OS X El Capitan binaries: r-release: FastBandChol_0.1.1.tgz
OS X Mavericks binaries: r-oldrel: FastBandChol_0.1.1.tgz
Old sources: FastBandChol archive

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