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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.
Stars
7
License
No license specified
Open Issues
0
Most Recent Commit
9 months ago
Programming Language
R
Dependent Repos
2
Total Releases
10
Latest Release
July 30, 2019
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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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