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cvCovEst
View on CRAN: Click
here
Download and install cvCovEst package within the R console
Install from CRAN:
install.packages("cvCovEst")
Install from Github:
library("remotes")
install_github("cran/cvCovEst") Install by package version:
library("remotes")
install_version("cvCovEst", "1.2.2") Attach the package and use:
library("cvCovEst")
Maintained by
Philippe Boileau
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-02-14
Latest Update: 2024-02-17
Description:
An efficient cross-validated approach for covariance matrix
estimation, particularly useful in high-dimensional settings. This
method relies upon the theory of high-dimensional loss-based covariance
matrix estimator selection developed by Boileau et al. (2022)
to identify the optimal estimator
from among a prespecified set of candidates.
How to cite:
Philippe Boileau (2021). cvCovEst: Cross-Validated Covariance Matrix Estimation. R package version 1.2.2, https://cran.r-project.org/web/packages/cvCovEst. Accessed 10 Mar. 2026.
Previous versions and publish date:
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Complete documentation for cvCovEst
Functions, R codes and Examples using
the cvCovEst R package
Some associated functions: adaptiveLassoEst . adaptiveLassoThreshold . bandingEst . bestInClass . checkArgs . checkPlotSumArgs . computeC . computeEll . computeS . cvCovEst . cvEigenPlot . cvFrobeniusLoss . cvMatrixFrobeniusLoss . cvMatrixMetrics . cvMultiMelt . cvRiskByClass . cvRiskPlot . cvScaledMatrixFrobeniusLoss . cvSummaryPlot . denseLinearShrinkEst . estAttributes . estimateNoise . getHypers . hyperRisk . is.cvCovEst . linearShrinkEst . linearShrinkLWEst . matrixMetrics . multiHyperRisk . nlShrinkLWEst . plot.cvCovEst . plotAdaptiveLassoEst . plotPoetEst . plotRobustPoetEst . poetEst . robustPoetEst . safeColScale . sampleCovEst . scadEst . scadThreshold . scaleEigVals . spikedFrobeniusShrinkEst . spikedOperatorShrinkEst . spikedSteinShrinkEst . strToNumber . summary.cvCovEst . taperingEst . theme_cvCovEst . thresholdingEst .
Some associated R codes: checkArgs.R . checkPlotSumArgs.R . cvCovEst.R . estimator_plots.R . estimators.R . foldFunctions.R . helpers.R . plot_functions.R . safeColScale.R . spikedCovarianceHelpers.R . summary_functions.R . thresholdingFunctions.R . zzz.R . Full cvCovEst package functions and examples
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