Package: CovEsts 1.1.0

CovEsts: Nonparametric Estimators for Covariance Functions

Several nonparametric estimators of autocovariance functions. Procedures for constructing their confidence regions by using bootstrap techniques. Methods to correct autocovariance estimators and several tools for analysing and comparing them. Supplementary functions, including kernel computations and discrete cosine Fourier transforms. For more details see Bilchouris and Olenko (2025) <doi:10.17713/ajs.v54i1.1975>.

Authors:Adam Bilchouris [cre, aut], Andriy Olenko [aut]

CovEsts_1.1.0.tar.gz
CovEsts_1.1.0.zip(r-4.7)CovEsts_1.1.0.zip(r-4.6)CovEsts_1.1.0.zip(r-4.5)
CovEsts_1.1.0.tgz(r-4.6-any)CovEsts_1.1.0.tgz(r-4.5-any)
CovEsts_1.1.0.tar.gz(r-4.7-any)CovEsts_1.1.0.tar.gz(r-4.6-any)
CovEsts_1.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
CovEsts/json (API)

# Install 'CovEsts' in R:
install.packages('CovEsts', repos = c('https://adambilchouris.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/adambilchouris/covests/issues

On CRAN:

Conda:

3.90 score 2 scripts 615 downloads 33 exports 0 dependencies

Last updated from:3428c0a47e. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK109
source / vignettesOK145
linux-release-x86_64OK116
macos-release-arm64OK143
macos-oldrel-arm64OK161
windows-develOK161
windows-releaseOK72
windows-oldrelOK93
wasm-releaseOK87

Exports:adjusted_estarea_betweenblock_bootstrapbootstrap_samplecheck_pdcorrected_estdct_1dhilbert_schmidtidct_1dkernelkernel_eckernel_estkernel_symmkernel_symm_ecmake_pdmax_distancemsenearest_pdnormalise_acfshrinkingspectral_normsplines_eststandard_eststarting_locstapertapered_estto_pacfto_variotruncated_estwindowwindow_ecwindow_symmwindow_symm_ec

Dependencies:

Readme and manuals

Help Manual

Help pageTopics
Compute the Kernel Regression Estimator.adjusted_est
Compute Adjusted Splines.adjusted_spline
Area Between Estimated Autocovariance Functions.area_between area_between.CovEsts area_between.default
as.double Method for CovEsts Objectsas.double.CovEsts
Block Bootstrapblock_bootstrap
Block Bootstrap Samplebootstrap_sample
Check if an Autocovariance Function Estimate is Positive-Definite or Not.check_pd check_pd.CovEsts check_pd.default
Kernel Correction of the Standard Estimator.corrected_est
Create a Cyclic Matrix for a Given Vector.cyclic_matrix
Compute 1D Discrete Cosine Transformdct_1d
Generate Spline Knots.generate_knots
Get all tau.get_taus
Compute Normalisation FactorH2n
Hilbert-Schmidt Norm Between Estimated Autocovariance Functions.hilbert_schmidt hilbert_schmidt.CovEsts hilbert_schmidt.default
Compute 1D Inverse Discrete Cosine Transformidct_1d
1D Isotropic Kernels.kernel_ec
Kernel Correction for an Estimated Autocovariance Function.kernel_est kernel_est.CovEsts kernel_est.default
1D Isotropic Symmetric Kernels.kernel_symm_ec
Lines Method for BootEsts Objectslines.BootEsts
Lines Method for CovEsts Objectslines.CovEsts
Lines Method for VarioEsts Objectslines.VarioEsts
Make a Function Positive-Definitemake_pd make_pd.CovEsts make_pd.default
Maximum Vertical Distance Between Estimated Functions.max_distance max_distance.CovEsts max_distance.default
MSE Between Estimated Autocovariance Functions.mse mse.CovEsts mse.default
Compute the Nearest Positive-Definite Matrix.nearest_pd nearest_pd.CovEsts nearest_pd.default
Normalise a CovEsts Objectnormalise_acf normalise_acf.CovEsts normalise_acf.default
Plot Method for BootEsts Objectsplot.BootEsts
Plot Method for CovEsts Objectsplot.CovEsts
Plot Method for VarioEsts Objectsplot.VarioEsts
Print Method for BootEsts Objectsprint.BootEsts
Print Method for CovEsts Objectsprint.CovEsts
Print Method for VarioEsts Objectsprint.VarioEsts
Compute rho(T_{1}) used in the Truncated Kernel Regression Estimator.rho_T1
Linear Shrinkingshrinking shrinking.CovEsts shrinking.default
Solve Linear Shrinkingsolve_shrinking
Objective Function for WLS.solve_spline
Compute the Spectral Norm Between Estimated Functions.spectral_norm spectral_norm.CovEsts spectral_norm.default
Construct Data Frame of Basis Functions.splines_df
Compute the Splines Estimator.splines_est splines_est.CovEsts splines_est.default
Computes the Standard Estimator of the Autocovariance Function.standard_est
Random Block Locationsstarting_locs
Compute the Function a(x; rho).taper
Compute the Estimated Tapered Autocovariance Function over a Set of Lags.tapered_est
Computes the Standard Estimator of the Autocovariance Function.to_pacf to_pacf.CovEsts to_pacf.default
Autocovariance to Semivariogramto_vario to_vario.CovEsts to_vario.default
Compute the Truncated Kernel Regression Estimator.truncated_est
1D Window Functions.window_ec
1D Symmetric Window Functions.window_symm_ec
Compute X_{ij} MatrixXij_mat