cvCovEst: Cross-validated covariance matrix estimator selection and evaluation in R

R Submitted 29 April 2021Published 26 July 2021
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Editor: @fboehm (all papers)
Reviewers: @Marie-PerrotDockes (all reviews), @yunanwu123 (all reviews)

Authors

Philippe Boileau (0000-0002-4850-2507), Nima S. Hejazi (0000-0002-7127-2789), Brian Collica (0000-0003-1127-2557), Mark J. van der Laan (0000-0003-1432-5511), Sandrine Dudoit (0000-0002-6069-8629)

Citation

Boileau et al., (2021). cvCovEst: Cross-validated covariance matrix estimator selection and evaluation in R. Journal of Open Source Software, 6(63), 3273, https://doi.org/10.21105/joss.03273

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covariance matrix cross-validation high-dimensional statistics loss-based estimation multivariate analysis

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ISSN 2475-9066