bspcov
Bayesian Sparse Estimation of a Covariance Matrix
Kwangmin Lee, Kyeongwon Lee, Kyoungjae Lee, Seongil Jo
Last update: 6 February 2024
Software version identifier: 1.0.0
Copyright license: GNU General Public License, version 2.0
Provides functions which perform Bayesian estimations of a covariance matrix for multivariate normal data. Assumes that the covariance matrix is sparse or band matrix and positive-definite. This software has been developed using funding supported by Basic Science Research Program through the National Research Foundation of Korea ('NRF') funded by the Ministry of Education ('RS-2023-00211979', 'NRF-2022R1A5A7033499', 'NRF-2020R1A4A1018207' and 'NRF-2020R1C1C1A01013338').
