Package: cvCovEst 1.2.2

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 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.

Authors:Philippe Boileau [aut, cre, cph], Nima Hejazi [aut], Brian Collica [aut], Jamarcus Liu [ctb], Mark van der Laan [ctb, ths], Sandrine Dudoit [ctb, ths]

cvCovEst_1.2.2.tar.gz
cvCovEst_1.2.2.zip(r-4.5)cvCovEst_1.2.2.zip(r-4.4)cvCovEst_1.2.2.zip(r-4.3)
cvCovEst_1.2.2.tgz(r-4.5-any)cvCovEst_1.2.2.tgz(r-4.4-any)cvCovEst_1.2.2.tgz(r-4.3-any)
cvCovEst_1.2.2.tar.gz(r-4.5-noble)cvCovEst_1.2.2.tar.gz(r-4.4-noble)
cvCovEst_1.2.2.tgz(r-4.4-emscripten)cvCovEst_1.2.2.tgz(r-4.3-emscripten)
cvCovEst.pdf |cvCovEst.html✨
cvCovEst/json (API)
NEWS

# Install 'cvCovEst' in R:
install.packages('cvCovEst', repos = c('https://philboileau.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/philboileau/cvcovest/issues

On CRAN:

Conda:

covariance-matrix-estimationcross-validationhigh-dimensional-statisticsnonparametric-statistics

6.78 score 13 stars 2 packages 26 scripts 350 downloads 20 exports 85 dependencies

Last updated 1 years agofrom:f6ef42b32e. Checks:8 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKFeb 11 2025
R-4.5-winOKFeb 11 2025
R-4.5-macOKFeb 11 2025
R-4.5-linuxOKFeb 11 2025
R-4.4-winOKFeb 11 2025
R-4.4-macOKFeb 11 2025
R-4.3-winOKFeb 11 2025
R-4.3-macOKFeb 11 2025

Exports:adaptiveLassoEstbandingEstcvCovEstcvFrobeniusLosscvMatrixFrobeniusLosscvScaledMatrixFrobeniusLossdenseLinearShrinkEstis.cvCovEstlinearShrinkEstlinearShrinkLWEstnlShrinkLWEstpoetEstrobustPoetEstsampleCovEstscadEstspikedFrobeniusShrinkEstspikedOperatorShrinkEstspikedSteinShrinkEsttaperingEstthresholdingEst

Dependencies:abindassertthatbackportsbootbroomcarcarDataclicodetoolscolorspacecoopcorrplotcowplotcpp11data.tableDerivdigestdoBydplyrfansifarverFormulafuturefuture.applygenericsggplot2ggpubrggrepelggsciggsignifglobalsgluegridExtragtableisobandlabelinglatticelifecyclelistenvlme4magrittrMASSMatrixMatrixModelsmatrixStatsmgcvmicrobenchmarkminqamodelrmunsellnlmenloptrnnetnumDerivorigamiparallellypbkrtestpillarpkgconfigpolynompurrrquantregR6rbibutilsRColorBrewerRcppRcppEigenRdpackreformulasrlangRMTstatRSpectrarstatixscalesSparseMstringistringrsurvivaltibbletidyrtidyselectutf8vctrsviridisLitewithr

cvCovEst: Cross-Validated Covariance Matrix Estimation

Philippe Boileau, Brian Collica, Nima Hejazi

Rendered fromusing_cvCovEst.Rmdusingknitr::rmarkdownon Feb 11 2025.

Last update: 2022-12-07
Started: 2020-05-22