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>
License: GPL-2 | GPL-3
NeedsCompilation: no
Citation: ShrinkCovMat citation info
Materials: README NEWS
CRAN checks: ShrinkCovMat results


Reference manual: ShrinkCovMat.pdf
Package source: ShrinkCovMat_1.2.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
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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