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ShrinkCovMat (version 1.4.0)

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

237

Version

1.4.0

License

GPL-2 | GPL-3

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Repository

http://github.com/AnestisTouloumis/ShrinkCovMat

Maintainer

Anestis Touloumis

Last Published

July 30th, 2019

Functions in ShrinkCovMat (1.4.0)

colon

Colon Cancer Dataset

targetselection

Target Matrix Selection

shrinkcovmat.identity

Shrinking the Sample Covariance Matrix Towards the Identity Matrix

shrinkcovmat.equal

Shrinking the Sample Covariance Matrix Towards a Sphericity Matrix

shrinkcovmat.unequal

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

ShrinkCovMat-package

Shrinkage Covariance Matrix Estimators