Bayesian Sparse Estimation of a Covariance Matrix R package bspcov version 1.0.3 Bayesian estimations of a covariance matrix for multivariate normal data. Assumes that the covariance matrix is sparse or band matrix and positive-definite. Methods implemented include the beta-mixture shrinkage prior (Lee et al. (2022) <doi:10.1016/j.jmva.2022.105067>), screened beta-mixture prior (Lee et al. (2024) <doi:10.1214/24-BA1495>), and post-processed posteriors for banded and sparse covariances (Lee et al. (2023) <doi:10.1214/22-BA1333>; Lee and Lee (2023) <doi:10.1016/j.jeconom.2023.105475>). This software has been developed using funding supported by Basic Science Research Program through the National Research Foundation of Korea ('NRF') funded by the Ministry of Education ('RS-2023-00211979', 'NRF-2022R1A5A7033499', 'NRF-2020R1A4A1018207' and 'NRF-2020R1C1C1A01013338'). Software Depends: R (>= 4.2) Imports: GIGrvg, coda, progress, BayesFactor, MASS, mvnfast, matrixcalc, matrixStats, purrr, dplyr, RSpectra, Matrix, plyr, CholWishart, magrittr, future, furrr, ks, ggplot2, ggmcmc, caret, FinCovRegularization, mvtnorm, stats, patchwork, reshape2, future.apply Suggests: hdbinseg, POET, tidyquant, tidyr, timetk, quantmod Kyeongwon Lee <kwlee1718@gmail.com> Comprehensive R Archive Network (CRAN) Kwangmin Lee [aut], Kyeongwon Lee [aut, cre], Kyoungjae Lee [aut], Seongil Jo [aut], Jaeyong Lee [ctb] GPL-2 2025-08-18 application/tgz https://CRAN.R-project.org/package=bspcov doi:10.32614/CRAN.package.bspcov