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.

Install the latest version of this package by entering the following in R:
AuthorAnestis Touloumis
Date of publication2016-05-22 15:01:31
MaintainerAnestis Touloumis <>
LicenseGPL-2 | GPL-3

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