ShrinkCovMat

cranv2.1.0

Shrinkage Covariance Matrix Estimators. 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.

License GPL-2 | GPL-30 versions1 maintainers1 deps88 weekly dl
AnestisTouloumis/ShrinkCovMat
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Rcpp
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First published · 2025-10-06 20:52:40

Last updated · 2025-10-06T19:40:02+00:00