r-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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1.4.0
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Summary
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.
Last Updated
Dec 4, 2019 at 15:40
License
GPL-2 | GPL-3
Total Downloads
331
Supported Platforms
linux-64
macOS-64
win-64