Cross-Validated Covariance Matrix Estimation


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Documentation for package ‘cvCovEst’ version 0.3.5

Help Pages

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