Code for "Cross-Validated Loss-Based Covariance Matrix Estimator Selection in High Dimensions"

This repository is organized as follows:

• simulations/: materials for simulation study
• analysis/: materials for data analysis examples

The preprint can be found on arXiv. The accompanying R package, cvCovEst, is available on CRAN and at https://github.com/PhilBoileau/cvCovEst.