cvCovEst (Q55316)
From MaRDI portal
Cross-Validated Covariance Matrix Estimation
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | cvCovEst |
Cross-Validated Covariance Matrix Estimation |
Statements
17 February 2024
0 references
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.
0 references
