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novelist (version 1.0)

NOVEL Integration of the Sample and Thresholded (NOVELIST) Correlation and Covariance Estimators

Description

Estimate Large correlation and covariance matrices and their inverses using integration of the sample and thresholded correlation and covariance estimators.

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Version

Install

install.packages('novelist')

Monthly Downloads

10

Version

1.0

License

GPL (>= 3)

Maintainer

Na Huang

Last Published

May 18th, 2015

Functions in novelist (1.0)

novelist.cov.cv

Optimal NOVELIST estimator of a covariance/correlation matrix
hardt

Hard thresholding estimator of covariance/correlation matrix
novelist.assign.inv

Parameter-assigned NOVELIST estimators of inverse of a corvariance/correlation matrix
novelist-package

NOVEL Integration of the Sample and Thresholded (NOVELIST) Correlation and Covariance Estimators
softt

Soft thresholding estimators of a covariance/correlation matrix
delta.star

Compute optimal shrinkage intensities for given thresholding levels
novelist.assign

Parameter-assigned NOVELIST estimators of a covariance/correlation matrix
novelist.inv.cv

Optimal NOVELIST estimator of the inverse of a covariance/correlation matrix