ShrinkCovMat: Shrinkage Covariance Matrix Estimators

    Research output: Non-textual outputSoftware


    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.

    Original languageEnglish
    Place of PublicationCRAN
    Media of outputOnline
    Publication statusAccepted/In press - 17 Apr 2014


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