ShrinkCovMat: Shrinkage Covariance Matrix Estimators

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.

Version: 1.4.0
Depends: R (≥ 2.10)
Imports: Rcpp (≥ 1.0.1)
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat (≥ 2.1.0), covr
Published: 2019-07-30
DOI: 10.32614/CRAN.package.ShrinkCovMat
Author: Anestis Touloumis [aut, cre] (0000-0002-5965-1639)
Maintainer: Anestis Touloumis <A.Touloumis at>
License: GPL-2 | GPL-3
NeedsCompilation: yes
Citation: ShrinkCovMat citation info
Materials: NEWS
CRAN checks: ShrinkCovMat results


Reference manual: ShrinkCovMat.pdf


Package source: ShrinkCovMat_1.4.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): ShrinkCovMat_1.4.0.tgz, r-oldrel (arm64): ShrinkCovMat_1.4.0.tgz, r-release (x86_64): ShrinkCovMat_1.4.0.tgz, r-oldrel (x86_64): ShrinkCovMat_1.4.0.tgz
Old sources: ShrinkCovMat archive


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