The goal is to implement the multivariate Covariance Correlation estimator in "Efficient Multivariate Initial Sequence Estimator for MCMC" by Arka Banerjee and Dootika Vats (link)

The folders inside "Examples/" consist of illustrative examples where the estimator is employed and its performance is compared with existing methods. The ".R" files inside the folders have longer runtime with ".Rout" files featuring the runtimes.

The plots and outputs can be reproduced by running "bv_corcovplots.R" and these can be found inside the "Plots" folder.