LiYanStat/fingerprinting: Tools of Regularized Optimal Fingerprinting and Shrinkage Estimators of Covariance Matrix

Conduct Regularized optimal fingerprinting via GLS and generalized TLS for climate change detection. Point and interval estimator for scaling factors under GLS and TLS. Provide shrinkage estimators from Ledoit&Wolf 2004 <https://doi.org/10.1016/S0047-259X(03)00096-4> and Ledoit&Wolf 2017 <http://dx.doi.org/10.2139/ssrn.2383361>.

Getting started

Package details

Maintainer
LicenseGPL (>= 3)
Version0.1-12
URL https://github.com/LiYanStat/fingerprinting
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("LiYanStat/fingerprinting")
LiYanStat/fingerprinting documentation built on May 31, 2018, 3:32 a.m.