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cvCovEst  

Cross-Validated Covariance Matrix Estimation
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]
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 01 Sep. 2026.
Previous versions and publish date:
(2026-07-09 07:29), 0.3.1 (2021-02-14 22:50), 0.3.4 (2021-03-07 00:50), 0.3.5 (2021-04-18 08:50), 1.0.0 (2021-07-25 15:30), 1.0.1 (2021-10-14 17:20), 1.0.2 (2022-01-19 23:12), 1.1.0 (2022-05-04 13:50), 1.1.1 (2022-09-23 12:20), 1.2.0 (2022-12-07 22:30), 1.2.1 (2023-06-23 12:00)
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Complete documentation for cvCovEst
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