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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2.1.0 by Anestis Touloumis, a year ago
https://github.com/AnestisTouloumis/ShrinkCovMat
Report a bug at https://github.com/AnestisTouloumis/ShrinkCovMat/issues
Browse source code at https://github.com/cran/ShrinkCovMat
Authors: Anestis Touloumis [aut, cre] (ORCID:
Documentation: PDF Manual
GPL-2 | GPL-3 license
Imports Rcpp
Suggests covr, knitr, rmarkdown, testthat
Linking to Rcpp, RcppArmadillo
See at CRAN