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-4.5)ShrinkCovMat_2.1.0.zip(r-4.4)ShrinkCovMat_2.1.0.zip(r-4.3)
ShrinkCovMat_2.1.0.tgz(r-4.5-x86_64)ShrinkCovMat_2.1.0.tgz(r-4.5-arm64)ShrinkCovMat_2.1.0.tgz(r-4.4-x86_64)ShrinkCovMat_2.1.0.tgz(r-4.4-arm64)ShrinkCovMat_2.1.0.tgz(r-4.3-x86_64)ShrinkCovMat_2.1.0.tgz(r-4.3-arm64)
ShrinkCovMat_2.1.0.tar.gz(r-4.5-noble)ShrinkCovMat_2.1.0.tar.gz(r-4.4-noble)
ShrinkCovMat_2.1.0.tgz(r-4.4-emscripten)ShrinkCovMat_2.1.0.tgz(r-4.3-emscripten)
ShrinkCovMat.pdf |ShrinkCovMat.html✨
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

4.83 score 8 stars 17 scripts 377 downloads 5 exports 2 dependencies

Last updated 2 years agofrom:7941b4c654. Checks:12 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 07 2025
R-4.5-win-x86_64OKMar 07 2025
R-4.5-mac-x86_64OKMar 07 2025
R-4.5-mac-aarch64OKMar 07 2025
R-4.5-linux-x86_64OKMar 07 2025
R-4.4-win-x86_64OKMar 07 2025
R-4.4-mac-x86_64OKMar 07 2025
R-4.4-mac-aarch64OKMar 07 2025
R-4.4-linux-x86_64OKMar 07 2025
R-4.3-win-x86_64OKMar 07 2025
R-4.3-mac-x86_64OKMar 07 2025
R-4.3-mac-aarch64OKMar 07 2025

Exports:shrinkcovmatshrinkcovmat.equalshrinkcovmat.identityshrinkcovmat.unequaltargetselection

Dependencies:RcppRcppArmadillo

Linear Shrinkage of Covariance Matrices

Rendered fromShrink_Covariance_Matrix.Rmdusingknitr::rmarkdownon Mar 07 2025.

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