stcov0.1.0 package

Stein's Covariance Estimator

haff_cov

Stein/Haff's covariance estimator

haff_eig

Stein/Haff's ordered eigenvalue estimates

iso_cov

Stein's isotonized covariance estimator

iso_eig

Stein's isotonized eigenvalue estimates

stein_eig

Stein's raw (unisotonized) eigenvalue estimates

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Estimates a covariance matrix using Stein's isotonized covariance estimator, or a related estimator suggested by Haff.

  • Maintainer: Brett Naul
  • License: GPL (>= 2)
  • Last published: 2016-04-13