Bayesian estimations of a covariance matrix for multivariate normal data. Assumes that the covariance matrix is sparse or band matrix and positive-definite. Methods implemented include the beta-mixture shrinkage prior (Lee et al. (2022) <doi:10.1016/j.jmva.2022.105067>), screened beta-mixture prior (Lee et al. (2024) <doi:10.1214/24-BA1495>), and post-processed posteriors for banded and sparse covariances (Lee et al. (2023) <doi:10.1214/22-BA1333>; Lee and Lee (2023) <doi:10.1016/j.jeconom.2023.105475>). 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').
| Version: | 1.0.3 |
| Depends: | R (≥ 4.2) |
| Imports: | GIGrvg,coda,progress,BayesFactor,MASS,mvnfast,matrixcalc,matrixStats,purrr,dplyr,RSpectra,Matrix,plyr,CholWishart,magrittr,future,furrr,ks,ggplot2,ggmcmc,caret,FinCovRegularization,mvtnorm, stats,patchwork,reshape2,future.apply |
| Suggests: | hdbinseg,POET,tidyquant,tidyr,timetk,quantmod |
| Published: | 2025-08-18 |
| DOI: | 10.32614/CRAN.package.bspcov |
| Author: | Kwangmin Lee [aut], Kyeongwon Lee [aut, cre], Kyoungjae Lee [aut], Seongil Jo [aut], Jaeyong Lee [ctb] |
| Maintainer: | Kyeongwon Lee <kwlee1718 at gmail.com> |
| License: | GPL-2 |
| URL: | https://github.com/statjs/bspcov |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | bspcov results |