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.

Package details

AuthorNa Huang and Piotr Fryzlewicz
MaintainerNa Huang <[email protected]>
LicenseGPL (>= 3)
Package repositoryView on CRAN
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novelist documentation built on May 30, 2017, 6:49 a.m.