covreg: A simultaneous regression model for the mean and covariance. This package fits a simultaneous regression model for the mean vectors and covariance matrices of multivariate response variables, as described in Hoff and Niu (2012). The explanatory variables can be continuous or discrete. The current version of the package provides the Bayesian estimates.
Keywords for this software
References in zbMATH (referenced in 5 articles )
Showing results 1 to 5 of 5.
- Zhang, Lin; Sarkar, Abhra; Mallick, Bani K.: Bayesian sparse covariance decomposition with a graphical structure (2016)
- Fox, Emily B.; Dunson, David B.: Bayesian nonparametric covariance regression (2015)
- Wang, Y.; Daniels, M.J.: Bayesian modeling of the dependence in longitudinal data via partial autocorrelations and marginal variances (2013)
- Hoff, Peter D.; Niu, Xiaoyue: A covariance regression model (2012)
- Pourahmadi, Mohsen: Covariance estimation: the GLM and regularization perspectives (2011)