RSC
Robust and Sparse Correlation Matrix
Performs robust and sparse correlation matrix estimation. Robustness is achieved based on a simple robust pairwise correlation estimator, while sparsity is obtained based on thresholding. The optimal thresholding is tuned via cross-validation. See Serra, Coretto, Fratello and Tagliaferri (2018)
- Version2.0.4
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- RSC citation info
- Last release04/17/2023
Documentation
Team
Luca Coraggio
Pietro Coretto
Show author detailsRolesAuthorAngela Serra
Show author detailsRolesAuthorRoberto Tagliaferri
Show author detailsRolesContributor
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- Imports7 packages