stcov: Stein's Covariance Estimator

Estimates a covariance matrix using Stein's isotonized covariance estimator, or a related estimator suggested by Haff.

Author
Brett Naul <brettnaul@gmail.com>
Date of publication
2016-04-13 21:35:23
Maintainer
Brett Naul <brettnaul@gmail.com>
License
GPL (>= 2)
Version
0.1.0

View on CRAN

Man pages

haff_cov
Stein/Haff's covariance estimator
haff_eig
Stein/Haff's ordered eigenvalue estimates
iso_cov
Stein's isotonized covariance estimator
iso_eig
Stein's isotonized eigenvalue estimates
stein_eig
Stein's raw (unisotonized) eigenvalue estimates

Files in this package

stcov
stcov/tests
stcov/tests/testthat.R
stcov/tests/testthat
stcov/tests/testthat/test_stcov.R
stcov/NAMESPACE
stcov/R
stcov/R/stcov.R
stcov/MD5
stcov/DESCRIPTION
stcov/man
stcov/man/haff_eig.Rd
stcov/man/haff_cov.Rd
stcov/man/iso_eig.Rd
stcov/man/iso_cov.Rd
stcov/man/stein_eig.Rd