Fast Estimation of a Covariance Matrix by Banding the Cholesky Factor
Selects bandwidth for Cholesky factorization by cross validation
Computes estimate of covariance matrix by banding the Cholesky factor
Selects bandwidth for sample covariance matrix by cross validation
Computes banded sample covariance matrix
Fast estimation of covariance matrix by banded Cholesky factor
Fast and numerically stable estimation of a covariance matrix by banding the Cholesky factor using a modified Gram-Schmidt algorithm implemented in RcppArmadilo. See <http://stat.umn.edu/~molst029> for details on the algorithm.