PhilBoileau/cvCovEst: Cross-Validated Covariance Matrix Estimation

An efficient cross-validated approach for covariance matrix estimation, particularly useful in high-dimensional settings. This method relies upon the theory of high-dimensional loss-based covariance matrix estimator selection developed by Boileau et al. (2022) <doi:10.1080/10618600.2022.2110883> to identify the optimal estimator from among a prespecified set of candidates.

install.packages("remotes")
remotes::install_github("PhilBoileau/cvCovEst")