Kernel Density Estimation for Random Symmetric Positive Definite Matrices

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Documentation for package ‘ksm’ version 1.0

• DESCRIPTION file.

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bandwidth_optim	Bandwidth optimization for symmetric matrix kernels
dinvWishart	Density of inverse Wishart random matrix
dmbeta2	Matrix beta type II density function
dsmlnorm	Symmetric matrix-variate lognormal density
dsmnorm	Symmetric matrix-variate normal density
dWishart	Density of Wishart random matrix
integrate_spd	Integration with respect to symmetric positive definite matrices
kdens_smlnorm	Symmetric matrix log-normal kernel density
kdens_smnorm	Symmetric matrix normal kernel density
kdens_symmat	Kernel density estimators for symmetric matrices
kdens_Wishart	Wishart kernel density
lcv_kdens_symmat	Likelihood cross-validation for symmetric positive definite matrix kernels
lcv_kern_smlnorm	Likelihood cross validation criterion for symmetric matrix lognormal kernel
lcv_kern_smnorm	Likelihood cross validation criterion for symmetric matrix normal kernel
lcv_kern_Wishart	Likelihood cross validation criterion for Wishart kernel
lscv_kern_smlnorm	Least square cross validation criterion for log symmetric matrix normal kernel
lscv_kern_Wishart	Least square cross validation criterion for Wishart kernel
mgamma	Multivariate gamma function
realvar	Realized variance of Amazon and SPY
Riccati	Solver for Riccati equation
rinvWishart	Random matrix generation from the inverse Wishart distribution
rmbeta2	Random matrix generation from matrix beta type II distribution
rmnorm	Random vector generation from the multivariate normal distribution
rWAR	Random matrix generation from first-order autoregressive Wishart process
rWishart	Random matrix generation from Wishart distribution
symmetrize	Symmetrize matrix