ShrinkCovMat: Shrinkage Covariance Matrix Estimators

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.

Version: 1.2.0
Depends: R (≥ 2.10)
Published: 2017-07-11
Author: Anestis Touloumis
Maintainer: Anestis Touloumis <A.Touloumis at brighton.ac.uk>
BugReports: http://github.com/AnestisTouloumis/ShrinkCovMat/issues
License: GPL-2 | GPL-3
URL: http://github.com/AnestisTouloumis/ShrinkCovMat
NeedsCompilation: no
Citation: ShrinkCovMat citation info
Materials: README NEWS
CRAN checks: ShrinkCovMat results

Downloads:

Reference manual: ShrinkCovMat.pdf
Package source: ShrinkCovMat_1.2.0.tar.gz
Windows binaries: r-devel: ShrinkCovMat_1.2.0.zip, r-release: ShrinkCovMat_1.2.0.zip, r-oldrel: ShrinkCovMat_1.2.0.zip
OS X El Capitan binaries: r-release: ShrinkCovMat_1.2.0.tgz
OS X Mavericks binaries: r-oldrel: ShrinkCovMat_1.2.0.tgz
Old sources: ShrinkCovMat archive

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