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cernn: Covariance Estimation Regularized by Nuclear Norm Penalties
An implementation of the covariance estimation method proposed in Chi and Lange (2014), "Stable estimation of a covariance matrix guided by nuclear norm penalties," Computational Statistics and Data Analysis 80:117-128.
Getting started
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Package details |
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| Author | Eric C. Chi <ecchi1105@gmail.com> |
| Maintainer | Eric C. Chi <ecchi1105@gmail.com> |
| License | MIT + file LICENSE |
| Version | 0.1 |
| Package repository | View on CRAN |
| Installation |
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