ShrinkCovMat: Shrinkage Covariance Matrix Estimators

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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.

Author
Anestis Touloumis
Date of publication
2016-05-22 15:01:31
Maintainer
Anestis Touloumis <A.Touloumis@brighton.ac.uk>
License
GPL-2 | GPL-3
Version
1.1.2

View on CRAN

Man pages

colon
Colon Cancer Dataset
shrinkcovmat.equal
Shrinking the Sample Covariance Matrix Towards a Diagonal...
shrinkcovmat.identity
Shrinking the Sample Covariance Matrix Towards the Identity...
ShrinkCovMat-package
Shrinkage Covariance Matrix Estimators
shrinkcovmat.unequal
Shrinking the Sample Covariance Matrix Towards a Diagonal...
targetselection
Target Matrix Selection

Files in this package

ShrinkCovMat
ShrinkCovMat/inst
ShrinkCovMat/inst/CITATION
ShrinkCovMat/inst/NEWS
ShrinkCovMat/NAMESPACE
ShrinkCovMat/data
ShrinkCovMat/data/colon.rda
ShrinkCovMat/R
ShrinkCovMat/R/shrinkcovmathat.default.R
ShrinkCovMat/R/shrinkcovmat.equal.R
ShrinkCovMat/R/shrinkcovmathat.R
ShrinkCovMat/R/targetselection.R
ShrinkCovMat/R/shrinkcovmat.identity.R
ShrinkCovMat/R/shrinkcovmat.unequal.R
ShrinkCovMat/R/print.shrinkcovmathat.R
ShrinkCovMat/MD5
ShrinkCovMat/DESCRIPTION
ShrinkCovMat/man
ShrinkCovMat/man/colon.Rd
ShrinkCovMat/man/targetselection.Rd
ShrinkCovMat/man/ShrinkCovMat-package.Rd
ShrinkCovMat/man/shrinkcovmat.identity.Rd
ShrinkCovMat/man/shrinkcovmat.equal.Rd
ShrinkCovMat/man/shrinkcovmat.unequal.Rd