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: 1.4.0
Depends: R (≥ 2.10)
Imports: Rcpp (≥ 1.0.1)
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat (≥ 2.1.0), covr
Published: 2019-07-30
Author: Anestis Touloumis [aut, cre] (0000-0002-5965-1639)
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: yes
Citation: ShrinkCovMat citation info
Materials: NEWS
CRAN checks: ShrinkCovMat results

Downloads:

Reference manual: ShrinkCovMat.pdf
Package source: ShrinkCovMat_1.4.0.tar.gz
Windows binaries: r-devel: ShrinkCovMat_1.4.0.zip, r-devel-gcc8: ShrinkCovMat_1.4.0.zip, r-release: ShrinkCovMat_1.4.0.zip, r-oldrel: ShrinkCovMat_1.4.0.zip
OS X binaries: r-release: ShrinkCovMat_1.4.0.tgz, r-oldrel: ShrinkCovMat_1.4.0.tgz
Old sources: ShrinkCovMat archive

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