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-4.4-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'))

Peer review:

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:

covariance-matrixshrinkage-estimators

5 exports 8 stars 1.33 score 2 dependencies 12 scripts 223 downloads

Last updated 1 years agofrom:7941b4c654. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 08 2024
R-4.5-win-x86_64OKSep 08 2024
R-4.5-linux-x86_64OKSep 08 2024
R-4.4-win-x86_64OKSep 08 2024
R-4.4-mac-x86_64OKSep 08 2024
R-4.4-mac-aarch64OKSep 08 2024
R-4.3-win-x86_64OKSep 08 2024
R-4.3-mac-x86_64OKSep 08 2024
R-4.3-mac-aarch64OKSep 08 2024

Exports:shrinkcovmatshrinkcovmat.equalshrinkcovmat.identityshrinkcovmat.unequaltargetselection

Dependencies:RcppRcppArmadillo

Linear Shrinkage of Covariance Matrices

Rendered fromShrink_Covariance_Matrix.Rmdusingknitr::rmarkdownon Sep 08 2024.

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