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-4.4-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'))

Peer review:

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

On CRAN:

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

6.75 score 13 stars 2 packages 24 scripts 360 downloads 20 exports 84 dependencies

Last updated 9 months agofrom:f6ef42b32e. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 13 2024
R-4.5-winOKNov 13 2024
R-4.5-linuxOKNov 13 2024
R-4.4-winOKNov 13 2024
R-4.4-macOKNov 13 2024
R-4.3-winOKNov 13 2024
R-4.3-macOKNov 13 2024

Exports:adaptiveLassoEstbandingEstcvCovEstcvFrobeniusLosscvMatrixFrobeniusLosscvScaledMatrixFrobeniusLossdenseLinearShrinkEstis.cvCovEstlinearShrinkEstlinearShrinkLWEstnlShrinkLWEstpoetEstrobustPoetEstsampleCovEstscadEstspikedFrobeniusShrinkEstspikedOperatorShrinkEstspikedSteinShrinkEsttaperingEstthresholdingEst

Dependencies:abindassertthatbackportsbootbroomcarcarDataclicodetoolscolorspacecoopcorrplotcowplotcpp11data.tableDerivdigestdoBydplyrfansifarverFormulafuturefuture.applygenericsggplot2ggpubrggrepelggsciggsignifglobalsgluegridExtragtableisobandlabelinglatticelifecyclelistenvlme4magrittrMASSMatrixMatrixModelsmatrixStatsmgcvmicrobenchmarkminqamodelrmunsellnlmenloptrnnetnumDerivorigamiparallellypbkrtestpillarpkgconfigpolynompurrrquantregR6rbibutilsRColorBrewerRcppRcppEigenRdpackrlangRMTstatRSpectrarstatixscalesSparseMstringistringrsurvivaltibbletidyrtidyselectutf8vctrsviridisLitewithr

cvCovEst: Cross-Validated Covariance Matrix Estimation

Philippe Boileau, Brian Collica, Nima Hejazi

Rendered fromusing_cvCovEst.Rmdusingknitr::rmarkdownon Nov 13 2024.

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