ShrinkCovMat: Shrinkage Covariance Matrix Estimators

Anestis Touloumis

ShrinkCovMat: Shrinkage Covariance Matrix Estimators

Research output: Non-textual output › Software

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 language	English
Place of Publication	CRAN
Media of output	Online
Publication status	Accepted/In press - 17 Apr 2014

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https://CRAN.R-project.org/package=ShrinkCovMatLicence: GNU GPL

Anestis Touloumis
- A.Touloumisbrighton.acuk
- School of Arch, Tech and Eng - Principal Lecturer
- Computing and Mathematical Sciences Research Excellence Group
Person: Academic

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title = "ShrinkCovMat: Shrinkage Covariance Matrix Estimators",

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.",

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ShrinkCovMat: Shrinkage Covariance Matrix Estimators

Abstract

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Anestis Touloumis

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