Fast Estimation of a Covariance Matrix by Banding the Cholesky Factor

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Documentation for package ‘FastBandChol’ version 0.1.1

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FastBandChol-package Fast estimation of covariance matrix by banded Cholesky factor
banded.chol Computes estimate of covariance matrix by banding the Cholesky factor
banded.chol.cv Selects bandwidth for Cholesky factorization by cross validation
banded.sample Computes banded sample covariance matrix
banded.sample.cv Selects bandwidth for sample covariance matrix by cross validation
FastBandChol Fast estimation of covariance matrix by banded Cholesky factor