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)
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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

@article{Boileau2021, doi = {10.21105/joss.03273}, url = {https://doi.org/10.21105/joss.03273}, year = {2021}, publisher = {The Open Journal}, volume = {6}, number = {63}, pages = {3273}, author = {Philippe Boileau and Nima S. Hejazi and Brian Collica and Mark J. van der Laan and Sandrine Dudoit}, title = {`cvCovEst`: Cross-validated covariance matrix estimator selection and evaluation in `R`}, journal = {Journal of Open Source Software} }
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covariance matrix cross-validation high-dimensional statistics loss-based estimation multivariate analysis

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ISSN 2475-9066