jmcm: Joint Mean-Covariance Models in R.

Features

• Efficient for large data sets, using algorithms from the Armadillo linear algebra package via the RcppArmadillo interface layer.
• Fits joint mean-covariance models based on three Cholesky decomposition-type covariance structure modelling methods, namely modified Cholesky decomposition (MCD), alternative Cholesky decomposition (ACD) and hyperpherical parameterization of Cholesky factor (HPC).

Installation

Get the development version from github:

install.packages("devtools")
library(devtools)
devtools::install_github("ypan1988/jmcm", dependencies=TRUE)

Or the released version from CRAN:

install.packages("jmcm")