ShrinkCovMat: Shrinkage Covariance Matrix Estimators

Research output: Non-textual outputSoftware

Abstract

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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