
glasso
 Referenced in 412 articles
[sw07432]
 converged precision matrix might not be the inverse of the estimated covariance, and occasionally ... target of estimation is Σ, the covariance matrix, rather than the precision matrix...

UTV
 Referenced in 240 articles
[sw05213]
 type problems with a rankdeficient covariance matrix, and we provide a robust and reliable...

CMAES
 Referenced in 109 articles
[sw05063]
 stands for Covariance Matrix Adaptation Evolution Strategy. Evolution strategies (ES) are stochastic, derivativefree methods ... this distribution are represented by a covariance matrix. The covariance matrix adaptation ... method to update the covariance matrix of this distribution. This is particularly useful ... conditioned. Adaptation of the covariance matrix amounts to learning a second order model...

ROBPCA
 Referenced in 67 articles
[sw11592]
 based on the empirical covariance matrix of the data and hence is highly sensitive ... robust scatter matrix such as the minimum covariance determinant or an Sestimator ... combines projection pursuit ideas with robust scatter matrix estimation. ROBPCA yields more accurate estimates...

spcov
 Referenced in 36 articles
[sw12271]
 spcov: Sparse Estimation of a Covariance Matrix. Provides a covariance estimator for multivariate normal data ... Sparse Estimation of a Covariance Matrix,” Biometrika...

DSPCA
 Referenced in 35 articles
[sw04804]
 semidefinite symmetric matrix by a rankone matrix, with an upper bound on the cardinality ... arises in the decomposition of a covariance matrix into sparse factors, and has wide applications...

corpor
 Referenced in 21 articles
[sw09381]
 Steintype shrinkage estimator for the covariance matrix, with separate shrinkage for variances and correlations ... positive definite and wellconditioned covariance matrix. In addition to inferring the covariance matrix ... variances. The inverse of the covariance and correlation matrix can be efficiently computed, as well...

sandwich
 Referenced in 30 articles
[sw04486]
 package sandwich: Robust Covariance Matrix Estimators , Modelrobust standard error estimators for crosssectional, time...

MIXOR
 Referenced in 26 articles
[sw08990]
 factor of the randomeffects variancecovariance matrix is estimated, along with the effects...

QUIC
 Referenced in 25 articles
[sw11795]
 guarantees in recovering a sparse inverse covariance matrix, or alternatively the underlying graph structure...

multtest
 Referenced in 22 articles
[sw08262]
 normal with mean zero and variance covariance matrix derived from the vector influence function. Results...

corpcor
 Referenced in 11 articles
[sw10199]
 Steintype shrinkage estimator for the covariance matrix, with separate shrinkage for variances and correlations ... positive definite and wellconditioned covariance matrix. In addition to inferring the covariance matrix ... variances. The inverse of the covariance and correlation matrix can be efficiently computed, as well...

tmvtnorm
 Referenced in 18 articles
[sw08073]
 second moments (i.e. mean and covariance matrix) for the doubletruncated multinormal case...

SPECTRODE
 Referenced in 9 articles
[sw13984]
 limit spectra of sample covariance matrices. Models from random matrix theory (RMT) are increasingly used ... multivariate distribution with a given covariance matrix. Under highdimensional asymptotics, there is a deterministic ... distribution of eigenvalues of the population covariance matrix (the population spectral distribution ... such as estimation and hypothesis testing for covariance matrices. Our proposal, implemented in open source...

FLIPS
 Referenced in 7 articles
[sw00299]
 error. Usually, the measurement and the theory matrix are given and some statistical information about ... estimate (MAP estimate) and the posteriori covariance matrix of the unknown. If the error ... estimate together with the posteriori covariance matrix are enough to determine it.FLIPS solves the inverse ... theory matrix rows & error variance/error covariance matrix) into FLIPS in small pieces, thus decreasing...

ROCKET
 Referenced in 11 articles
[sw30016]
 estimating parameters in the latent inverse covariance matrix. We establish asymptotic normality of ROCKET...

leapp
 Referenced in 8 articles
[sw11213]
 primary covariate vector, an additional known covariates matrix. A two stage analysis is applied...

EASY  FIT
 Referenced in 9 articles
[sw05976]
 intervals for estimated parameters, correlation and covariance matrix, identification of significance levels for estimated parameters...

MIXNO
 Referenced in 9 articles
[sw10546]
 factor of the randomeffects variancecovariance matrix is estimated along with the (fixed) effects...

Pi4U
 Referenced in 8 articles
[sw18320]
 asymptotic approximations are treated via the Covariance Matrix Adaptation Evolution Strategy (CMAES). A modified...