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

spcov
 Referenced in 36 articles
[sw12271]
 spcov: Sparse Estimation of a Covariance Matrix. Provides a covariance estimator for multivariate normal data ... Tibshirani, R. (2011), ”Sparse Estimation of a Covariance Matrix,” Biometrika...

sandwich
 Referenced in 31 articles
[sw04486]
 package sandwich: Robust Covariance Matrix Estimators , Modelrobust standard error estimators for crosssectional, time...

MIXOR
 Referenced in 26 articles
[sw08990]
 individuals. MIXOR uses marginal maximum likelihood estimation, utilizing a Fisherscoring solution. For the scoring ... randomeffects variancecovariance matrix is estimated, along with the effects of model covariates. Examples...

corpor
 Referenced in 21 articles
[sw09381]
 JamesSteintype shrinkage estimator for the covariance matrix, with separate shrinkage for variances ... inferring the covariance matrix the package also provides shrinkage estimators for partial correlations and partial ... variances. The inverse of the covariance and correlation matrix can be efficiently computed, as well...

ROBPCA
 Referenced in 67 articles
[sw11592]
 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...

corpcor
 Referenced in 11 articles
[sw10199]
 JamesSteintype shrinkage estimator for the covariance matrix, with separate shrinkage for variances ... inferring the covariance matrix the package also provides shrinkage estimators for partial correlations and partial ... variances. The inverse of the covariance and correlation matrix can be efficiently computed, as well...

BSSasymp
 Referenced in 11 articles
[sw16157]
 Mixing and Unmixing Matrix Estimates. Functions to compute the asymptotic covariance matrices of mixing ... unmixing matrix estimates of the following blind source separation (BSS) methods: symmetric and squared symmetric ... symmetric SOBI. Also functions to estimate these covariances based on data are available...

MIXNO
 Referenced in 9 articles
[sw10546]
 data. MIXNO uses marginal maximum likelihood estimation, utilizing a Fisherscoring solution. For the scoring ... randomeffects variancecovariance matrix is estimated along with the (fixed) effects of explanatory variables...

FarmTest
 Referenced in 5 articles
[sw31555]
 with fast datadrive tuning schemes to estimate model parameters and construct test statistics that ... that compute adaptive Huber mean and covariance matrix estimators that are of independent interest...

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

FLIPS
 Referenced in 7 articles
[sw00299]
 error. Usually, the measurement and the theory matrix are given and some statistical information about ... posteriori estimate (MAP estimate) and the posteriori covariance matrix of the unknown. If the error ... unknown, and the MAP estimate together with the posteriori covariance matrix are enough to determine...

EnKFMC
 Referenced in 2 articles
[sw15209]
 Modified Cholesky Decomposition for Inverse Covariance Matrix Estimation. This paper develops an efficient implementation ... modified Cholesky decomposition for inverse covariance matrix estimation. This implementation is named EnKFMC. Background ... obtain sparse estimators of the inverse background error covariance matrix. The computational effort ... modified Cholesky for inverse covariance matrix estimation can reduce the impact of spurious correlations during...

clime
 Referenced in 3 articles
[sw25587]
 Matrix Estimation. A robust constrained L1 minimization method for estimating a large sparse inverse covariance...

QuEST
 Referenced in 6 articles
[sw38788]
 quest function. Certain estimation problems involving the covariance matrix in large dimensions are considered ... asymptotics. Recently, an estimator of the eigenvalues of the population covariance matrix has been proposed...

BIONJ
 Referenced in 30 articles
[sw08301]
 these taxa, and reducing the distance matrix by replacing both taxa by this node. Moreover ... covariances of evolutionary distance estimates. This model is well adapted when these estimates are obtained ... minimizes the variance of the new distance matrix. In this way, we obtain better estimates...

ROCKET
 Referenced in 11 articles
[sw30016]
 novel procedure for estimating parameters in the latent inverse covariance matrix. We establish asymptotic normality ... necessary for obtaining a (sqrt{n}) consistent estimator of an element in the precision matrix...

GHS
 Referenced in 4 articles
[sw37217]
 develop a new estimator of the inverse covariance matrix for highdimensional multivariate normal data ... proposed graphical horseshoe estimator has attractive properties compared to other popular estimators, such ... true inverse covariance matrix is sparse, the graphical horseshoe provides estimates with small information divergence...

QUIC
 Referenced in 25 articles
[sw11795]
 regularized Gaussian maximum likelihood estimator (MLE) has been shown to have strong statistical ... guarantees in recovering a sparse inverse covariance matrix, or alternatively the underlying graph structure...

RidgeFusion
 Referenced in 2 articles
[sw27161]
 implements ridge fusion methodology for inverse covariance matrix estimation for use in quadratic discriminant analysis ... clustering using ridge fusion for inverse matrix estimation, as well as tuning parameter selection functions ... have also implemented QDA using joint inverse covariance estimation...