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.

Package details

AuthorAnestis Touloumis [aut, cre] (0000-0002-5965-1639)
MaintainerAnestis Touloumis <>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
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ShrinkCovMat documentation built on July 30, 2019, 9:03 a.m.