ShrinkCovMat: Shrinkage Covariance Matrix Estimators
Version 1.1.2

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.

Package details

AuthorAnestis Touloumis
Date of publication2016-05-22 15:01:31
MaintainerAnestis Touloumis <A.Touloumis@brighton.ac.uk>
LicenseGPL-2 | GPL-3
Version1.1.2
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("ShrinkCovMat")

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ShrinkCovMat documentation built on May 30, 2017, 12:17 a.m.