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

Package details

AuthorEric C. Chi <>
MaintainerEric C. Chi <>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the cernn package in your browser

Any scripts or data that you put into this service are public.

cernn documentation built on May 2, 2019, 6 a.m.