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.
|Place of Publication||CRAN|
|Media of output||Online|
|Publication status||Accepted/In press - 17 Apr 2014|
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- School of Arch, Tech and Eng - Principal Lecturer
- Centre for Secure, Intelligent and Usable Systems - Associate Director of Researcher Development
- Mathematical Sciences Research and Enterprise Group