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ShrinkCovMat (version 1.0.2)

Shrinkage Covariance Matrix Estimators

Description

The package ShrinkCovMat 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.

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Version

Install

install.packages('ShrinkCovMat')

Monthly Downloads

237

Version

1.0.2

License

GPL-2 | GPL-3

Maintainer

Anestis Touloumis

Last Published

October 20th, 2014

Functions in ShrinkCovMat (1.0.2)

shrinkcovmat.equal

Shrinking the Sample Covariance Matrix Towards a Diagonal Matrix with Equal Diagonal Elements
colon

Colon Cancer Dataset
shrinkcovmat.unequal

Shrinking the Sample Covariance Matrix Towards a Diagonal Matrix with Diagonal Elements the Sample Variances.
ShrinkCovMat-package

Shrinkage Covariance Matrix Estimators
targetselection

Rule of Thumb for Target Matrix Selection
shrinkcovmat.identity

Shrinking the Sample Covariance Matrix Towards the Identity Matrix