AnestisTouloumis/ShrinkCovMat

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.

语言：R · GitHub 星标：8 · Fork：4

话题：covariance-matrix · r · shrinkage-estimators

在 GitHub 上查看原仓库