Package: robustcov 0.1

robustcov: Collection of Robust Covariance and (Sparse) Precision Matrix Estimators

Collection of methods for robust covariance and (sparse) precision matrix estimation based on Loh and Tan (2018) <doi:10.1214/18-EJS1427>.

Authors:Yunyi Shen [aut, cre], David Simcha [cph]

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robustcov/json (API)

# Install 'robustcov' in R:

install.packages('robustcov', repos = c('https://yunyishen.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/yunyishen/robustcov/issues

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3
openmp– GCC OpenMP (GOMP) support library

On CRAN:

precision-matrix robust-estimates openblas cpp openmp

2.70 score 1 stars 168 downloads 15 exports 77 dependencies

Last updated 4 years agofrom:94305ad6e8. Checks:1 OK, 8 NOTE. Indexed: yes.

Target	Result	Latest binary
Doc / Vignettes	OK	Jan 03 2025
R-4.5-win-x86_64	NOTE	Jan 03 2025
R-4.5-linux-x86_64	NOTE	Jan 03 2025
R-4.4-win-x86_64	NOTE	Jan 03 2025
R-4.4-mac-x86_64	NOTE	Jan 03 2025
R-4.4-mac-aarch64	NOTE	Jan 03 2025
R-4.3-win-x86_64	NOTE	Jan 03 2025
R-4.3-mac-x86_64	NOTE	Jan 03 2025
R-4.3-mac-aarch64	NOTE	Jan 03 2025

Exports:conta_normal corKendall corQuadrant corSpearman covGK covNPD covOGK covSpearmanU cvglasso nearPPSD negLLrobOmega raltert rmvnorm rmvt robglasso

Dependencies:caret class cli clock codetools colorspace cpp11 data.table diagram digest dplyr e1071 fansi farver foreach future future.apply generics ggplot2 glasso globals glue gower gtable hardhat ipred isoband iterators KernSmooth labeling lattice lava lifecycle listenv lubridate magrittr MASS Matrix mgcv ModelMetrics munsell nlme nnet numDeriv parallelly pillar pkgconfig plyr pROC prodlim progressr proxy purrr R6 RColorBrewer Rcpp RcppArmadillo recipes reshape2 rlang rpart scales shape SQUAREM stringi stringr survival tibble tidyr tidyselect timechange timeDate tzdb utf8 vctrs viridisLite withr

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Sample contaminated normal	conta_normal
Kendall's tau	corKendall
Quadrant correlation coefficients	corQuadrant
Spearman correlation	corSpearman
Gnanadesikan-Kettenring estimator for covariance	covGK
NPD estimator for covariance based on Qn	covNPD
Orthogonalized Gnanadesikan-Kettenring (OGK) estimator for covariance	covOGK
SpearmanU estimator for covariance	covSpearmanU
Cross validation to chose tuning parameter of glasso	cvglasso
nearest positive semi-definite projection of a matrix	nearPPSD
-log Likelihood on test set	negLLrobOmega
Alternative multivariate t distribution	raltert
Multivariate normal distribution with 0 mean	rmvnorm
Multivariate t distribution	rmvt
glasso with robust covariance estimations	robglasso

Usage by other packages (reverse dependencies)