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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.
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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