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.
| Version: | 2.1.0 |
| Depends: | R (≥ 2.10) |
| Imports: | Rcpp (≥ 1.0.1) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | covr, knitr, rmarkdown, testthat (≥ 2.1.0) |
| Published: | 2025-10-06 |
| DOI: | 10.32614/CRAN.package.ShrinkCovMat |
| Author: | Anestis Touloumis 
[aut, cre] |
| Maintainer: | Anestis Touloumis <A.Touloumis at brighton.ac.uk> |
| BugReports: | https://github.com/AnestisTouloumis/ShrinkCovMat/issues |
| License: | GPL-2 | GPL-3 |
| URL: | https://github.com/AnestisTouloumis/ShrinkCovMat |
| NeedsCompilation: | yes |
| Citation: | ShrinkCovMat citation info |
| Materials: | NEWS |
| CRAN checks: | ShrinkCovMat results |
Documentation:
| Reference manual: | ShrinkCovMat.html , ShrinkCovMat.pdf |
| Vignettes: |
Linear Shrinkage of Covariance Matrices (source, R code) |
Downloads:
| Package source: | ShrinkCovMat_2.1.0.tar.gz |
| Windows binaries: | r-devel: ShrinkCovMat_2.1.0.zip, r-release: ShrinkCovMat_2.1.0.zip, r-oldrel: ShrinkCovMat_2.1.0.zip |
| macOS binaries: | r-release (arm64): ShrinkCovMat_2.1.0.tgz, r-oldrel (arm64): ShrinkCovMat_2.1.0.tgz, r-release (x86_64): ShrinkCovMat_2.1.0.tgz, r-oldrel (x86_64): ShrinkCovMat_2.1.0.tgz |
| Old sources: | ShrinkCovMat archive |
Linking:
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