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.

AuthorNa Huang and Piotr Fryzlewicz
Date of publication2015-05-19 00:14:47
MaintainerNa Huang <n.huang1@lse.ac.uk>
LicenseGPL (>= 3)
Version1.0

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