ShrinkCovMat
Shrinkage Covariance Matrix Estimators
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.
- Version1.4.0
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- ShrinkCovMat citation info
- Last release07/30/2019
Documentation
Team
Anestis Touloumis
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- Imports1 package
- Suggests2 packages
- Linking To2 packages