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ShrinkCovMat  

Shrinkage Covariance Matrix Estimators
View on CRAN: Click here


Download and install ShrinkCovMat package within the R console
Install from CRAN:
install.packages("ShrinkCovMat")

Install from Github:
library("remotes")
install_github("cran/ShrinkCovMat")

Install by package version:
library("remotes")
install_version("ShrinkCovMat", "1.4.0")



Attach the package and use:
library("ShrinkCovMat")
Maintained by
Anestis Touloumis
[Scholar Profile | Author Map]
First Published: 2014-04-17
Latest Update: 2019-07-30
Description:
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.
How to cite:
Anestis Touloumis (2014). ShrinkCovMat: Shrinkage Covariance Matrix Estimators. R package version 1.4.0, https://cran.r-project.org/web/packages/ShrinkCovMat. Accessed 29 Mar. 2025.
Previous versions and publish date:
1.0.0 (2014-04-17 23:12), 1.0.1 (2014-08-12 11:48), 1.0.2 (2014-10-20 12:36), 1.0.3 (2014-11-03 00:26), 1.1.0 (2015-01-08 16:59), 1.1.1 (2015-09-08 17:48), 1.1.2 (2016-05-22 15:01), 1.2.0 (2017-07-11 23:18), 1.3.0 (2019-07-25 17:40)
Other packages that cited ShrinkCovMat R package
View ShrinkCovMat citation profile
Other R packages that ShrinkCovMat depends, imports, suggests or enhances
Complete documentation for ShrinkCovMat
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