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novelist: NOVEL Integration of the Sample and Thresholded (NOVELIST) Correlation and Covariance Estimators
Estimate Large correlation and covariance matrices and their inverses using integration of the sample and thresholded correlation and covariance estimators.
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Package details |
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| Author | Na Huang and Piotr Fryzlewicz |
| Maintainer | Na Huang <n.huang1@lse.ac.uk> |
| License | GPL (>= 3) |
| Version | 1.0 |
| Package repository | View on CRAN |
| Installation |
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