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bspcov

license

An R package for Bayesian Sparse Estimation of a Covariance Matrix

S&P 500 Example

Building

To build the package from source, you need to have the following:

# lock the renv
pkgs <- c("GIGrvg", "coda", "progress", "BayesFactor", "MASS", "mvnfast", "matrixcalc", "matrixStats", "purrr", "dplyr", "RSpectra", "Matrix", "plyr", "CholWishart", "magrittr", "future", "furrr", "ks", "ggplot2", "ggmcmc", "caret", "FinCovRegularization", "mvtnorm")
renv::snapshot(packages = pkgs)

# update docs
devtools::document()
## check package
VERSION=$(git describe --tags | sed 's/v//g')

## build manual
R CMD Rd2pdf --force --no-preview -o bspcov-manual.pdf .

## build package
sed -i '' "s/Version: [^\"]*/Version: ${VERSION}/g" "DESCRIPTION"
R CMD build .

Installation

You can install the bspcov package from CRAN:

install.packages("bspcov")

or the development version from GitHub, by using the function install_github() from devtools package:

devtools::install_github("statjs/bspcov", ref = "main")

Acknowledgement

This work was supported by the National Research Foundation of Korea(NRF) grant funded by the Korea government(MSIT)
(RS-2023-00211979, NRF-2022R1A5A7033499, NRF-2020R1A4A1018207, and NRF-2020R1C1C1A01013338)

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.