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

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PhilBoileau/pub_cvCovEst

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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.

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

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