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AnestisTouloumis/ShrinkCovMat: Shrinkage Covariance Matrix Estimators

Provides nonparametric Steinian shrinkage estimators of the covariance matrix that are suitable in high dimensional settings, that is when the number of variables is larger than the sample size.

README.md

Vignettes Man pages API and functions Files

Package details
Maintainer
License	GPL-2 \| GPL-3
Version	2.1.0
URL	https://github.com/AnestisTouloumis/ShrinkCovMat
Package repository	View on GitHub
Installation	Install the latest version of this package by entering the following in R: `install.packages("remotes") remotes::install_github("AnestisTouloumis/ShrinkCovMat")`