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.

AuthorAnestis Touloumis
Date of publication2016-05-22 15:01:31
MaintainerAnestis Touloumis <A.Touloumis@brighton.ac.uk>
LicenseGPL-2 | GPL-3
Version1.1.2

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