cvCovEst
Cross-Validated Covariance Matrix Estimation
An efficient cross-validated approach for covariance matrix estimation, particularly useful in high-dimensional settings. This method relies upon the theory of high-dimensional loss-based covariance matrix estimator selection developed by Boileau et al. (2022) <doi:10.1080/10618600.2022.2110883> to identify the optimal estimator from among a prespecified set of candidates.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.2.2 |
2026-04-09 windows/windows R-4.5 | cvCovEst_1.2.2.zip |
629.5 KiB |