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✨
card.svg |card.png
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

6.66 score 14 stars 1 packages 36 scripts 334 downloads 20 exports 91 dependencies

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

TargetResultTimeFilesSyslog
linux-devel-x86_64OK181
source / vignettesOK253
linux-release-x86_64OK198
macos-release-arm64OK179
macos-oldrel-arm64OK229
windows-develOK139
windows-releaseOK147
windows-oldrelOK147
wasm-releaseOK134

Exports:adaptiveLassoEstbandingEstcvCovEstcvFrobeniusLosscvMatrixFrobeniusLosscvScaledMatrixFrobeniusLossdenseLinearShrinkEstis.cvCovEstlinearShrinkEstlinearShrinkLWEstnlShrinkLWEstpoetEstrobustPoetEstsampleCovEstscadEstspikedFrobeniusShrinkEstspikedOperatorShrinkEstspikedSteinShrinkEsttaperingEstthresholdingEst

Dependencies:abindassertthatbackportsbootbroomcarcarDataclicodetoolscolorspacecoopcorrplotcowplotcpp11data.tableDerivdigestdoBydplyrfarverforecastFormulafracdifffuturefuture.applygenericsggplot2ggpubrggrepelggsciggsignifglobalsgluegridExtragtableisobandlabelinglatticelifecyclelistenvlme4lmtestmagrittrMASSMatrixMatrixModelsmatrixStatsmgcvmicrobenchmarkminqamodelrnlmenloptrnnetnumDerivorigamiparallellypbkrtestpillarpkgconfigpolynompurrrquantregR6rbibutilsRColorBrewerRcppRcppArmadilloRcppEigenRdpackreformulasrlangRMTstatRSpectrarstatixS7scalesSparseMstringistringrsurvivaltibbletidyrtidyselecttimeDateurcautf8vctrsviridisLitewithrzoo

cvCovEst: Cross-Validated Covariance Matrix Estimation

Philippe Boileau, Brian Collica, Nima Hejazi

Rendered fromusing_cvCovEst.Rmdusingknitr::rmarkdownon Jun 02 2026.

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