RSC (version 2.0.4)

Robust and Sparse Correlation Matrix

Description

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) .

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Install

install.packages('RSC')

Monthly Downloads

182

Version

2.0.4

License

GPL (>= 2)

Maintainer

Last Published

April 17th, 2023

Functions in RSC (2.0.4)