R package 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 loss-based estimator selection to identify the optimal estimator of the covariance matrix from among a prespecified set of candidates.
Keywords for this software
References in zbMATH (referenced in 1 article , 1 standard article )
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- Philippe Boileau, Nima Hejazi, Brian Collica, Jamarcus Liu, Mark van der Laan, Sandrine Dudoit : cvCovEst: Cross-validated covariance matrix estimator selection and evaluation in R (2021) not zbMATH