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ShrinkCovMat (version 1.1.2)

Shrinkage Covariance Matrix Estimators

Description

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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Install

install.packages('ShrinkCovMat')

Monthly Downloads

226

Version

1.1.2

License

GPL-2 | GPL-3

Last Published

May 22nd, 2016

Functions in ShrinkCovMat (1.1.2)