AnestisTouloumis/ShrinkCovMat AnestisTouloumis/ShrinkCovMat

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  • Rank 2,099,232 (Top 42 %)
  • Language
    R
  • Created over 7 years ago
  • Updated over 1 year ago
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AnestisTouloumis/ShrinkCovMat
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AnestisTouloumis

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Repository Details

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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