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philboileau
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.
Maintained by Philippe Boileau. Last updated 1 years ago.
covariance-matrix-estimationcross-validationhigh-dimensional-statisticsnonparametric-statistics
90.1 match 13 stars 6.78 score 26 scripts 2 dependents