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-4.7)cvCovEst_1.2.2.zip(r-4.6)cvCovEst_1.2.2.zip(r-4.5)
cvCovEst_1.2.2.tgz(r-4.6-any)cvCovEst_1.2.2.tgz(r-4.5-any)
cvCovEst_1.2.2.tar.gz(r-4.7-any)cvCovEst_1.2.2.tar.gz(r-4.6-any)
cvCovEst_1.2.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
cvCovEst/json (API)

# 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:

covariance-matrix-estimation cross-validation high-dimensional-statistics nonparametric-statistics

6.73 score 14 stars 1 packages 43 scripts 383 downloads 20 exports 91 dependencies

Last updated from:f6ef42b32e. Checks:9 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	OK	243
source / vignettes	OK	223
linux-release-x86_64	OK	203
macos-release-arm64	OK	262
macos-oldrel-arm64	OK	232
windows-devel	OK	138
windows-release	OK	200
windows-oldrel	OK	136
wasm-release	OK	170

Exports:adaptiveLassoEst bandingEst cvCovEst cvFrobeniusLoss cvMatrixFrobeniusLoss cvScaledMatrixFrobeniusLoss denseLinearShrinkEst is.cvCovEst linearShrinkEst linearShrinkLWEst nlShrinkLWEst poetEst robustPoetEst sampleCovEst scadEst spikedFrobeniusShrinkEst spikedOperatorShrinkEst spikedSteinShrinkEst taperingEst thresholdingEst

Dependencies:abind assertthat backports boot broom car carData cli codetools colorspace coop corrplot cowplot cpp11 data.table Deriv digest doBy dplyr farver forecast Formula fracdiff future future.apply generics ggplot2 ggpubr ggrepel ggsci ggsignif globals glue gridExtra gtable isoband labeling lattice lifecycle listenv lme4 lmtest magrittr MASS Matrix MatrixModels matrixStats mgcv microbenchmark minqa modelr nlme nloptr nnet numDeriv origami parallelly pbkrtest pillar pkgconfig polynom purrr quantreg R6 rbibutils RColorBrewer Rcpp RcppArmadillo RcppEigen Rdpack reformulas rlang RMTstat RSpectra rstatix S7 scales SparseM stringi stringr survival tibble tidyr tidyselect timeDate urca utf8 vctrs viridisLite withr zoo

cvCovEst: Cross-Validated Covariance Matrix Estimation

Rendered fromusing_cvCovEst.Rmdusingknitr::rmarkdown

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

Help page	Topics
Adaptive LASSO Estimator	adaptiveLassoEst
Banding Estimator	bandingEst
Cross-Validated Covariance Matrix Estimator Selector	cvCovEst
Cross-Validation Function for Aggregated Frobenius Loss	cvFrobeniusLoss
Cross-Validation Function for Matrix Frobenius Loss	cvMatrixFrobeniusLoss
Cross-Validation Function for Scaled Matrix Frobenius Loss	cvScaledMatrixFrobeniusLoss
Linear Shrinkage Estimator, Dense Target	denseLinearShrinkEst
Check for cvCovEst Class	is.cvCovEst
Linear Shrinkage Estimator	linearShrinkEst
Ledoit-Wolf Linear Shrinkage Estimator	linearShrinkLWEst
Analytical Non-Linear Shrinkage Estimator	nlShrinkLWEst
Generic Plot Method for cvCovEst	plot.cvCovEst
POET Estimator	poetEst
Robust POET Estimator for Elliptical Distributions	robustPoetEst
Sample Covariance Matrix	sampleCovEst
Smoothly Clipped Absolute Deviation Estimator	scadEst
Frobenius Norm Shrinkage Estimator, Spiked Covariance Model	spikedFrobeniusShrinkEst
Operator Norm Shrinkage Estimator, Spiked Covariance Model	spikedOperatorShrinkEst
Stein Loss Shrinkage Estimator, Spiked Covariance Model	spikedSteinShrinkEst
Generic Summary Method for cvCovEst	summary.cvCovEst
Tapering Estimator	taperingEst
Hard Thresholding Estimator	thresholdingEst

Package: cvCovEst 1.2.2

cvCovEst: Cross-Validated Covariance Matrix Estimation

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Help Manual

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