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ShrinkCovMat (version 2.1.0)

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

2.1.0

License

GPL-2 | GPL-3

Issues

0

Pull Requests

0

Stars

8

Forks

4

Maintainer

Anestis Touloumis

Last Published

October 6th, 2025

Functions in ShrinkCovMat (2.1.0)

shrinkcovmat

Linear Shrinkage of the Sample Covariance
ShrinkCovMat-package

Shrinkage Covariance Matrix Estimators
targetselection

Target Matrix Selection
ShrinkCovMat-deprecated

Deprecated functions in package ShrinkCovMat.
shrinkcovmat.equal-deprecated

Shrinking the Sample Covariance Matrix Towards a Sphericity Matrix
shrinkcovmat.unequal-deprecated

Shrinking the Sample Covariance Matrix Towards a Diagonal Matrix with Diagonal Elements the Sample Variances.
shrinkcovmat.identity-deprecated

Shrinking the Sample Covariance Matrix Towards the Identity Matrix
colon

Colon Cancer Dataset