BlockCov

Estimation of Large Block Covariance Matrices

CRAN Package

Computation of large covariance matrices having a block structure up to a permutation of their columns and rows from a small number of samples with respect to the dimension of the matrix. The method is described in the paper Perrot-Dockès et al. (2019) doi:10.48550/arXiv.1806.10093.


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