Package: ShrinkCovMat 2.1.0

ShrinkCovMat: 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.

Authors:Anestis Touloumis [aut, cre]

ShrinkCovMat_2.1.0.tar.gz
ShrinkCovMat_2.1.0.zip(r-4.7)ShrinkCovMat_2.1.0.zip(r-4.6)ShrinkCovMat_2.1.0.zip(r-4.5)
ShrinkCovMat_2.1.0.tgz(r-4.6-x86_64)ShrinkCovMat_2.1.0.tgz(r-4.6-arm64)ShrinkCovMat_2.1.0.tgz(r-4.5-x86_64)ShrinkCovMat_2.1.0.tgz(r-4.5-arm64)
ShrinkCovMat_2.1.0.tar.gz(r-4.7-arm64)ShrinkCovMat_2.1.0.tar.gz(r-4.7-x86_64)ShrinkCovMat_2.1.0.tar.gz(r-4.6-arm64)ShrinkCovMat_2.1.0.tar.gz(r-4.6-x86_64)
ShrinkCovMat_2.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
ShrinkCovMat/json (API)
NEWS

# Install 'ShrinkCovMat' in R:
install.packages('ShrinkCovMat', repos = c('https://anestistouloumis.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/anestistouloumis/shrinkcovmat/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:
  • colon - Colon Cancer Dataset

On CRAN:

Conda:

covariance-matrixshrinkage-estimatorsopenblascppopenmp

5.36 score 8 stars 19 scripts 242 downloads 5 exports 2 dependencies

Last updated from:5467664f68. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK120
linux-devel-x86_64OK156
source / vignettesOK182
linux-release-arm64OK128
linux-release-x86_64OK122
macos-release-arm64OK163
macos-release-x86_64OK298
macos-oldrel-arm64OK156
macos-oldrel-x86_64OK281
windows-develOK137
windows-releaseOK101
windows-oldrelOK107
wasm-releaseOK109

Exports:shrinkcovmatshrinkcovmat.equalshrinkcovmat.identityshrinkcovmat.unequaltargetselection

Dependencies:RcppRcppArmadillo

Linear Shrinkage of Covariance Matrices

Rendered fromShrink_Covariance_Matrix.Rmdusingknitr::rmarkdownon Jun 15 2026.

Last update: 2023-07-11
Started: 2022-10-02