cvCovEst
swMATH39616CRANcvCovEstMaRDI QIDQ55316FDOQ55316
Cross-Validated Covariance Matrix Estimation
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
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.
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