cernn: Covariance Estimation Regularized by Nuclear Norm Penalties
Version 0.1

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

Package details

AuthorEric C. Chi <>
Date of publication2015-04-15 12:38:20
MaintainerEric C. Chi <>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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cernn documentation built on May 29, 2017, 7:04 p.m.