Covariance Matrix Estimators

adaptiveLassoEst()

Adaptive LASSO Estimator

bandingEst()

Banding Estimator

denseLinearShrinkEst()

Linear Shrinkage Estimator, Dense Target

linearShrinkEst()

Linear Shrinkage Estimator

linearShrinkLWEst()

Ledoit-Wolf Linear Shrinkage Estimator

nlShrinkLWEst()

Analytical Non-Linear Shrinkage Estimator

robustPoetEst()

Robust POET Estimator for Elliptical Distributions

sampleCovEst()

Sample Covariance Matrix

scadEst()

Smoothly Clipped Absolute Deviation Estimator

taperingEst()

Tapering Estimator

thresholdingEst()

Hard Thresholding Estimator

Cross-Validation Functions

cvCovEst()

Cross-Validated Covariance Matrix Estimator Selector

cvMatrixFrobeniusLoss()

Cross-Validation Function for Matrix Frobenius Loss

cvScaledMatrixFrobeniusLoss()

Cross-Validation Function for Scaled Matrix Frobenius Loss

cvFrobeniusLoss()

Cross-Validation Function for Aggregated Frobenius Loss

Plotting and Summary Functions

plot(<cvCovEst>)

Generic Plot Method for cvCovEst

summary(<cvCovEst>)

Generic Summary Method for cvCovEst

is.cvCovEst()

Check for cvCovEst Class