Covariance Estimation Regularized by Nuclear Norm Penalties


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Documentation for package ‘cernn’ version 0.1

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cernn Compute the regularization path for Covariance Estimate Regularized by Nuclear Norms (CERNN)
get_alpha Compute alpha parameter for covariance regularization.
get_lambda_max Compute lambda_max parameter for covariance regularization.
loss_entropy Entropy Loss
loss_quadratic Quadratic Loss
select_lambda Selection of penalty parameter based on cross-validation
shrink_eigen Nonlinear shrinkage of sample eigenvalues