AnestisTouloumis/ShrinkCovMat: Shrinkage Covariance Matrix Estimators
Version 1.2.1

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.

Getting started

Package details

Maintainer
LicenseGPL-2 | GPL-3
Version1.2.1
URL http://github.com/AnestisTouloumis/ShrinkCovMat
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("AnestisTouloumis/ShrinkCovMat")
AnestisTouloumis/ShrinkCovMat documentation built on Sept. 2, 2017, 5:42 a.m.