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.

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

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Files

cernn
cernn/inst
cernn/inst/CITATION
cernn/NAMESPACE
cernn/R
cernn/R/cernn.r
cernn/MD5
cernn/DESCRIPTION
cernn/man
cernn/man/get_lambda_max.Rd cernn/man/get_alpha.Rd cernn/man/cernn.Rd cernn/man/loss_quadratic.Rd cernn/man/shrink_eigen.Rd cernn/man/select_lambda.Rd cernn/man/loss_entropy.Rd
cernn/LICENSE

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