novelist: NOVEL Integration of the Sample and Thresholded (NOVELIST) Correlation and Covariance Estimators

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Estimate Large correlation and covariance matrices and their inverses using integration of the sample and thresholded correlation and covariance estimators.

Author
Na Huang and Piotr Fryzlewicz
Date of publication
2015-05-19 00:14:47
Maintainer
Na Huang <n.huang1@lse.ac.uk>
License
GPL (>= 3)
Version
1.0

View on CRAN

Man pages

delta.star
Compute optimal shrinkage intensities for given thresholding...
hardt
Hard thresholding estimator of covariance/correlation matrix
novelist.assign
Parameter-assigned NOVELIST estimators of a...
novelist.assign.inv
Parameter-assigned NOVELIST estimators of inverse of a...
novelist.cov.cv
Optimal NOVELIST estimator of a covariance/correlation matrix
novelist.inv.cv
Optimal NOVELIST estimator of the inverse of a...
novelist-package
NOVEL Integration of the Sample and Thresholded (NOVELIST)...
softt
Soft thresholding estimators of a covariance/correlation...

Files in this package

novelist
novelist/NAMESPACE
novelist/R
novelist/R/novelist.cov.cv.R
novelist/R/novelist.inv.cv.R
novelist/R/softt.R
novelist/R/delta.star.R
novelist/R/hardt.R
novelist/R/novelist.assign.R
novelist/R/novelist.assign.inv.R
novelist/MD5
novelist/DESCRIPTION
novelist/man
novelist/man/novelist.assign.Rd
novelist/man/novelist-package.Rd
novelist/man/novelist.assign.inv.Rd
novelist/man/novelist.inv.cv.Rd
novelist/man/novelist.cov.cv.Rd
novelist/man/softt.Rd
novelist/man/delta.star.Rd
novelist/man/hardt.Rd