HGray384/TAS: Target-Averaged Linear Shrinkage (TAS)
High-dimensional covariance matrix estimation using linear shrinkage with multiple target matrices Gray, H., Leday, G.G.R., Vallejos, C.A. and Richardson, S., (2018) <arXiv:1809.08024>. Multiple targets can be useful when there is uncertainty around the choice of target or if there is external data that can be used to construct a target matrix.
Getting started
Browse package contents
Package details |
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| Author | Harry Gray [cre, aut], Gwenael G.R. Leday [ctb] |
| Maintainer | Harry Gray <h.w.gray@dundee.ac.uk> |
| License | GPL-3 | file LICENSE |
| Version | 1.0.1 |
| URL | https://github.com/HGray384/TAS |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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