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covKCD  

Covariance Estimation for Matrix Data with the Kronecker-Core Decomposition
View on CRAN: Click here


Download and install covKCD package within the R console
Install from CRAN:
install.packages("covKCD")

Install from Github:
library("remotes")
install_github("cran/covKCD")

Install by package version:
library("remotes")
install_version("covKCD", "0.1")



Attach the package and use:
library("covKCD")
Maintained by
Peter Hoff
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-08-13
Latest Update: 2022-08-13
Description:
Matrix-variate covariance estimation via the Kronecker-core decomposition. Computes the Kronecker and core covariance matrices corresponding to an arbitrary covariance matrix, and provides an empirical Bayes covariance estimator that adaptively shrinks towards the space of separable covariance matrices. For details, see Hoff, McCormack and Zhang (2022) "Core Shrinkage Covariance Estimation for Matrix-variate data".
How to cite:
Peter Hoff (2022). covKCD: Covariance Estimation for Matrix Data with the Kronecker-Core Decomposition. R package version 0.1, https://cran.r-project.org/web/packages/covKCD. Accessed 25 Jun. 2026.
Previous versions and publish date:
No previous versions
Other packages that cited covKCD R package
View covKCD citation profile
Other R packages that covKCD depends, imports, suggests or enhances
Complete documentation for covKCD
Functions, R codes and Examples using the covKCD R package
Some associated functions: ca2cm . cm2ca . covCSE . covKCD . lmvgamma . mcov . msqrt . msqrtInv . 
Some associated R codes: Full covKCD package functions and examples
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