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.

Install the latest version of this package by entering the following in R:
install.packages("cernn")
AuthorEric C. Chi <ecchi1105@gmail.com>
Date of publication2015-04-15 12:38:20
MaintainerEric C. Chi <ecchi1105@gmail.com>
LicenseMIT + file LICENSE
Version0.1

View on CRAN

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.