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ShrinkCovMat: Shrinkage Covariance Matrix Estimators
Provides nonparametric Steinian shrinkage estimators of the covariance matrix that are suitable in high dimensional settings, that is when the number of variables is larger than the sample size.
Getting started
Browse package contents
Package details |
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| Author | Anestis Touloumis [aut, cre] (0000-0002-5965-1639) |
| Maintainer | Anestis Touloumis <A.Touloumis@brighton.ac.uk> |
| License | GPL-2 | GPL-3 |
| Version | 1.4.0 |
| URL | http://github.com/AnestisTouloumis/ShrinkCovMat |
| Package repository | View on CRAN |
| Installation |
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