cvCovEst

Authors Nima S. Hejazi, Brian Collica, Philippe Boileau

Last update 17 February 2024

Copyright license MIT license, File License

Software version identifier 1.2.0, 0.3.1, 0.3.4, 0.3.5, 1.0.0, 1.0.1, 1.0.2, 1.1.0, 1.1.1, 1.2.1, 1.2.2

Official website https://cran.rstudio.com/web/packages/cvCovEst/index.html

Source code repository https://github.com/cran/cvCovEst

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.

Cites work

Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions

Cited in

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