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stcov (version 0.1.0)

Stein's Covariance Estimator

Description

Estimates a covariance matrix using Stein's isotonized covariance estimator, or a related estimator suggested by Haff.

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Version

Install

install.packages('stcov')

Monthly Downloads

151

Version

0.1.0

License

GPL (>= 2)

Maintainer

Brett Naul

Last Published

April 13th, 2016

Functions in stcov (0.1.0)

haff_cov

Stein/Haff's covariance estimator
iso_eig

Stein's isotonized eigenvalue estimates
haff_eig

Stein/Haff's ordered eigenvalue estimates
iso_cov

Stein's isotonized covariance estimator
stein_eig

Stein's raw (unisotonized) eigenvalue estimates