Published July 24, 2021
| Version v1.0.0
Software
Open
cvCovEst: Cross-validated covariance matrix estimator selection and evaluation in R
- 1. University of California, Berkeley
- 2. University of California, Berkeley; Stanford
Description
An efficient cross-validated approach for covariance matrix estimation, particularly useful in high-dimensional settings. This method relies upon the theory of loss-based estimator selection to identify the optimal estimator of the covariance matrix from among a prespecified set of candidates.
Notes
This release accompanies the publication of the cvCovEst software paper in the Journal of Open Source Software.
Files
PhilBoileau/cvCovEst-v1.0.0.zip
Files
(1.5 MB)
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Additional details
Related works
- Is derived from
- Software: https://github.com/PhilBoileau/cvCovEst/tree/v1.0.0 (URL)