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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.
Citation | cvCovEst citation info |
github.com/PhilBoileau/cvCovEst | |
Bug report | File report |
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