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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.

Version: 1.2.2
Depends: R (≥ 4.0.0)
Imports: matrixStats, Matrix, stats, methods, origami, coop, Rdpack, rlang, dplyr, stringr, purrr, tibble, assertthat, RSpectra, ggplot2, ggpubr, RColorBrewer, RMTstat
Suggests: future, future.apply, MASS, testthat, knitr, rmarkdown, covr, spelling
Published: 2024-02-17
DOI: 10.32614/CRAN.package.cvCovEst
Author: Philippe Boileau ORCID iD [aut, cre, cph], Nima Hejazi ORCID iD [aut], Brian Collica ORCID iD [aut], Jamarcus Liu [ctb], Mark van der Laan ORCID iD [ctb, ths], Sandrine Dudoit ORCID iD [ctb, ths]
Maintainer: Philippe Boileau <philippe_boileau at berkeley.edu>
BugReports: https://github.com/PhilBoileau/cvCovEst/issues
License: MIT + file LICENSE
URL: https://github.com/PhilBoileau/cvCovEst
NeedsCompilation: no
Language: en-US
Citation: cvCovEst citation info
Materials: README NEWS
CRAN checks: cvCovEst results

Documentation:

Reference manual: cvCovEst.pdf
Vignettes: cvCovEst: Cross-Validated Covariance Matrix Estimation

Downloads:

Package source: cvCovEst_1.2.2.tar.gz
Windows binaries: r-devel: cvCovEst_1.2.2.zip, r-release: cvCovEst_1.2.2.zip, r-oldrel: cvCovEst_1.2.2.zip
macOS binaries: r-release (arm64): cvCovEst_1.2.2.tgz, r-oldrel (arm64): cvCovEst_1.2.2.tgz, r-release (x86_64): cvCovEst_1.2.2.tgz, r-oldrel (x86_64): cvCovEst_1.2.2.tgz
Old sources: cvCovEst archive

Reverse dependencies:

Reverse imports: PPLasso, WLogit
Reverse suggests: bdsvd

Linking:

Please use the canonical form https://CRAN.R-project.org/package=cvCovEst to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.