High-Dimensional Methods for Elliptically Symmetric Distributions

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Documentation for package ‘HDElliptical’ version 0.1.2

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A B C D E F G H I J K L M N O P R S T W X Y Z

-- A --

acg_loglik Angular central Gaussian log-likelihood

-- B --

bai_saranadasa_two_sample_test Original Bai-Saranadasa two-sample mean test
basics_shape BASICS shrinkage plus bias-adjusted shape estimator
basic_shape BASIC bias-adjusted spatial-sign shape estimator
bickel_levina_covariance_threshold Bickel-Levina hard-thresholded covariance estimator
book_gaussian_alpha_cauchy_test Book Gaussian alpha Cauchy benchmark

-- C --

cai_liu_adaptive_covariance_threshold Cai-Liu adaptive covariance thresholding
cai_liu_xia_two_sample_test Cai-Liu-Xia precision-adjusted two-sample maximum test
cca_bartlett_test Bartlett likelihood-ratio approximation for canonical correlations
cheng_sscm_equality_test Cheng-Liu-Peng-Zhang-Zheng two-sample SSCM test
chen_qin_two_sample_test Chen-Qin two-sample high-dimensional mean test
chen_song_feng_rank_white_noise_test Chen-Song-Feng rank-based max white-noise test
chen_zhang_zhong_covariance_test Chen-Zhang-Zhong high-dimensional covariance test
chime_clustering CHIME clustering for a two-component Gaussian mixture
classical_cca Classical canonical correlation analysis
classical_cusum_test Classical CUSUM change-point test
classical_lda_classifier Classical plug-in linear discriminant classifier
classical_pca Classical principal component analysis with explicit covariance convention
classical_qda_classifier Classical plug-in quadratic discriminant classifier
classical_spatial_tests Classical spatial sign and rank location tests
clime_precision Gaussian CLIME sparse precision estimator
composite_t2_two_sample_test Feng-Zou-Wang-Zhu Composite T-squared two-sample test
conditional_alpha_sieve_design Construct a conditional-alpha sieve design from a supplied basis
conditional_alpha_sieve_fit Fit the restricted conditional-alpha sieve regression
conditional_factor_wald_test Fixed-dimensional conditional-factor Wald benchmark

-- D --

dsda_classifier Direct sparse discriminant analysis

-- E --

ec2_covariance EC2 sparse covariance estimation with an eigenvalue constraint
elliptical_factor_number Select the number of spikes in an elliptical factor model
elliptical_factor_precision Sparse precision estimation for an elliptical factor fit
elliptical_oracle_classifier Exact oracle classifier for two elliptical populations
elliptical_regularized_hotelling_cauchy_test Elliptical regularized Hotelling test with Cauchy aggregation
elliptical_regularized_hotelling_test Elliptical regularized Hotelling fixed-ridge test
erht_change_point_test Elliptical regularized Hotelling change-point scan
erht_wbs Wild binary segmentation with the ERHT local score

-- F --

fair_classifier Features annealed independence rule (FAIR)
fantope_pca Fantope projection and selection sparse PCA
feng_jiang_liu_xiong_panel_independence_test Feng-Jiang-Liu-Xiong max-sum panel-independence test
feng_lan_liu_ma_alpha_max_test Feng-Lan-Liu-Ma high-dimensional maximum alpha test
feng_liu_ma_white_noise_test Feng-Liu-Ma high-dimensional white-noise test
feng_liu_rank_sphericity_test Feng-Liu spatial-rank sphericity tests
feng_spatial_rank_proportionality_test Feng-Zhang-Liu spatial-rank proportionality test
feng_sun_one_sample_test Feng-Sun scalar-invariant one-sample spatial-sign test
feng_wang_pdq_two_sample_test Feng-Wang pairwise-difference-quantile spatial-sign test
feng_zhang_liu_spatial_rank_test Feng-Zhang-Liu high-dimensional two-sample spatial-rank test
feng_zou_wang_two_sample_sign_test Feng-Zou-Wang two-sample multivariate-sign test
feng_zou_wang_zhu_two_sample_test Feng-Zou-Wang-Zhu scale-invariant Behrens-Fisher test
fisher_sun_gallagher_sphericity_test Fisher-Sun-Gallagher fourth-to-second trace sphericity test

-- G --

gaussian_alpha_combination_test Feng-Lan-Liu-Ma adaptive Gaussian alpha test
gaussian_covariance_lrt Classical Gaussian likelihood-ratio test for a covariance matrix
gaussian_graphical_lasso Gaussian graphical lasso with an off-diagonal penalty
gaussian_lda_oracle Oracle Gaussian linear discriminant classifier
gaussian_mixture_em Full-covariance Gaussian-mixture EM
gaussian_qda_oracle Oracle Gaussian quadratic discriminant classifier
gaussian_wilks_independence_test Gaussian Wilks block-independence test
generalized_sign_pca Generalized spatial-sign principal component analysis
generic_weighted_hr_location Generic weighted Hettmansperger-Randles location estimator
gqda_classifier Generalized quadratic discriminant analysis for elliptical populations
grs_alpha_test Gibbons-Ross-Shanken exact alpha test

-- H --

hallin_paindaveine_shape_test Hallin-Paindaveine signed-rank test for elliptical shape
hd_classifier_fit Construct a classifier from a scoring function
high_dimensional_hr High-dimensional Hettmansperger-Randles estimation
hotelling_one_sample_test Classical Hotelling location tests
hotelling_tests Classical Hotelling location tests
hotelling_two_sample_test Classical Hotelling location tests
hr_estimator Hettmansperger-Randles affine-equivariant location and shape
hr_gqda High-dimensional HR generalized quadratic discriminant analysis
hr_qda High-dimensional HR generalized quadratic discriminant analysis

-- I --

if_pca Influential features PCA clustering
independence_classifier Diagonal-covariance independence classifier
inst_one_sample_test Feng-Liu-Ma one-sample inverse norm sign test

-- J --

jiang_da_qda Jiang-Wang-Leng direct sparse QDA
john_sphericity_test John's classical trace test of Gaussian sphericity

-- K --

kendall_factor_number Robust factor-number selection from multivariate Kendall eigenvalues
kendall_pca Multivariate-Kendall principal component analysis
k_spatial_median K-spatial-median clustering

-- L --

linear_pool_covariance Linear or convex pooling of covariance matrices
liu_feng_ma_spatial_sign_alpha_test Liu-Feng-Ma robust spatial-sign sum alpha test
li_chen_covariance_test Li-Chen two-sample high-dimensional covariance equality test
li_shao_sparse_qda Li-Shao thresholded sparse QDA
li_wang_zou_two_sample_sign_test Li-Wang-Zou simpler spatial-sign-based two-sample test
lloyd_kmeans Lloyd's deterministic K-means algorithm
lpd_classifier Linear programming discriminant classifier

-- M --

mauchly_sphericity_test Mauchly-Box likelihood-ratio test of Gaussian sphericity
ma_feng_wang_bao_conditional_alpha_test Ma-Feng-Wang-Bao conditional maximum and adaptive alpha test
ma_lan_su_tsai_conditional_alpha_sum_test Ma-Lan-Su-Tsai conditional high-dimensional alpha sum test

-- N --

nagao_identity_test Nagao's classical Gaussian identity-covariance test
normalize_shape Normalize a shape matrix

-- O --

ollila_raninen_shrinkage_covariance Ollila-Raninen elliptical shrinkage covariance estimator
oracle_weighted_sign_sum_test Oracle generic weighted-sign sum statistic

-- P --

park_ayyala_one_sample_test Park-Ayyala one-sample high-dimensional mean test
pesaran_cd_test Pesaran CD test for cross-sectional independence
pesaran_yamagata_alpha_test Pesaran-Yamagata large-N sum alpha test
pmd_sparse_cca Penalized-matrix-decomposition sparse CCA
pmd_sparse_pca Penalized-matrix-decomposition sparse PCA
poet_covariance POET covariance estimator with a supplied factor count
poet_tme One-step Tyler POET estimator for an elliptical factor model
predict.hd_classifier_fit Predict from a Chapter 5 classifier
predict.semc_fit Predict from a semiparametric elliptical mixture fit

-- R --

regularized_spatial_sign_covariance Regularized spatial-sign covariance (RSSCM)
relliptical Simulate an elliptically symmetric sample
robust_factor_subspace Robust principal subspace for an elliptical factor model
robust_gqda Generalized QDA from certified robust class fits
rothman_levina_zhu_covariance_threshold Rothman-Levina-Zhu generalized covariance thresholding
rspherical Simulate a spherically symmetric sample
rts_factor Robust two-step factor estimator based on multivariate Kendall's tau

-- S --

scaled_spatial_median Scaled spatial median with diagonal HR standardisation
sdar_qda Sparse discriminant analysis with quadratic interactions
semc_fit Semiparametric elliptical mixture clustering
semc_select_k_gap Select the SEMC cluster count by Gap-LSE
shao_threshold_lda Shao-Wang-Deng-Wang thresholded sparse LDA
sign_whitened_sparse_cca Book sign-whitened sparse CCA variant
sm_sscm Spatial-median clustering with a common SSCM metric
sparse_kmeans Sparse K-means with ordered-pair BCSS weights
sparse_kmeans_select_s Select the sparse K-means L1 bound by permutation Gap calibration
sparse_kmedian Coordinatewise sparse K-median clustering
sparse_k_spatial_median Sparse K-spatial-median clustering
sparse_plugin_lda Sparse matrix plug-in LDA classifier
sparse_plugin_qda Certified sparse plug-in QDA
sparse_sm_select_k Select K for Sparse-SM by the BWDM rule
sparse_sm_select_tau Select the Sparse-SM threshold by the permutation Gap criterion
sparse_spatial_sign_pca Sparse spatial-sign principal component analysis
spatial_kendall Multivariate spatial Kendall matrix
spatial_median Spatial median
spatial_rank Empirical spatial ranks
spatial_rank_covariance Spatial rank covariance matrix
spatial_rank_test Classical spatial sign and rank location tests
spatial_sign Spatial signs
spatial_signed_rank_test Classical spatial sign and rank location tests
spatial_sign_change_point_test Spatial-sign max-Linf, max-L2, and adaptive change-point test
spatial_sign_maxsum_test Spatial-sign max-sum test for a high-dimensional location
spatial_sign_max_test Spatial-sign max test for a high-dimensional location
spatial_sign_pca Spatial-sign principal component analysis
spatial_sign_poet Spatial-sign POET estimator for an elliptical factor model
spatial_sign_precision Robust spatial-sign SCLIME and SGLASSO precision estimation
spatial_sign_precision_lda Spatial-sign precision plug-in LDA
spatial_sign_sphericity_test Spatial-sign sphericity test
spatial_sign_test Classical spatial sign and rank location tests
srivastava_du_one_sample_test Srivastava-Du one-sample high-dimensional mean test
srivastava_katayama_kano_two_sample_test Srivastava-Katayama-Kano two-sample mean test
sscca Primary spatial-sign sparse canonical correlation analysis
sscm Spatial sign covariance matrix
sslda Spatial-sign direct sparse linear discriminant analysis
ssqda Spatial-sign sparse quadratic discriminant analysis

-- T --

tensor_spatial_sign_precision Sparse tensor-elliptical precision matrices from tensor spatial signs
threshold_spatial_sign_precision Threshold a spatial-sign precision estimate
threshold_tensor_spatial_sign_precision Threshold fitted tensor spatial-sign precision matrices
tinst_two_sample_test Huang-Liu-Zhou-Feng two-sample inverse norm sign test
truncated_power_pca Truncated-power sparse principal components
tyler_shape Tyler's shape estimator

-- W --

wang_feng_dms_test Wang-Feng double-max-sum change-point test
wang_liu_feng_ma_serial_panel_test Wang-Liu-Feng-Ma serial-panel Fisher independence test
wang_liu_feng_vector_independence_test Wang-Liu-Feng rank max-sum test for vector independence
wang_liu_feng_vector_u_independence_test Wang-Liu-Feng degenerate rank-U vector-independence test
wang_peng_li_one_sample_test Wang-Peng-Li one-sample high-dimensional spatial-sign test
wang_xu_approx_randomization_test Wang-Xu approximate randomization test
wang_yao_corrected_john_test Wang-Yao corrected John's test of sphericity
wang_yao_corrected_lrt Wang-Yao corrected likelihood-ratio test of sphericity
wang_zhao_feng_wang_mutual_fund_fdr Robust mutual-fund selection with SS-BH or FSS-BH
weighted_scaled_spatial_median Weighted scaled spatial median and diagonal HR scale
weighted_spatial_sign_alpha_oracle_test Oracle weighted spatial-sign alpha statistic
white_noise_portmanteau_test Classical Box-Pierce or Ljung-Box white-noise test

-- X --

xu_lin_wei_pan_aspu_test Xu-Lin-Wei-Pan analytical adaptive sum-of-powers test

-- Y --

yan_zhao_feng_weighted_maxsum_test Yan-Zhao-Feng weighted max-sum test
yan_zhao_feng_weighted_max_test Yan-Zhao-Feng weighted max test

-- Z --

zhang_feng_radial_directional_test Zhang-Feng radial-directional test of an elliptical model
zhang_feng_rank_one_sample_test Zhang-Feng adaptive marginal-rank location tests
zhang_feng_rank_tests Zhang-Feng adaptive marginal-rank location tests
zhang_feng_rank_two_sample_test Zhang-Feng adaptive marginal-rank location tests
zhang_zhou_guo_linear_hypothesis_test Zhang-Zhou-Guo normal-reference mean tests
zhang_zhou_guo_one_sample_test Zhang-Zhou-Guo normal-reference mean tests
zhang_zhou_guo_paired_test Zhang-Zhou-Guo normal-reference mean tests
zhang_zhou_guo_tests Zhang-Zhou-Guo normal-reference mean tests
zhang_zhu_zhang_two_sample_test Zhang-Zhu-Zhang normal-reference scale-invariant two-sample test
zhao_chen_wang_spatial_sign_white_noise_test Zhao-Chen-Wang spatial-sign white-noise test
zhao_chen_zi_inst_alpha_test Zhao-Chen-Zi inverse-norm sign alpha test
zhao_conditional_spatial_sign_sum_test Zhao robust spatial-sign sum test for conditional alpha
zhao_feng_strongcorr_sign_test Zhao-Feng strong-correlation spatial-sign wild-bootstrap test
zhao_feng_wang_wang_robust_alpha_test Zhao-Feng-Wang-Wang robust maximum and adaptive alpha test
zhao_wang_conditional_spatial_sign_test Zhao-Wang robust conditional maximum and adaptive alpha test
zhao_yang_zhang_feng_wang_adaptive_sphericity_test Adaptive dense-sparse elliptical sphericity test
zhao_yang_zhang_feng_wang_sign_max_test Zhao-Yang-Zhang-Feng-Wang spatial-sign max sphericity test
zou_peng_feng_wang_sphericity_test Zou-Peng-Feng-Wang spatial-sign sphericity test