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PhilBoileau / cvCovEst

An R package for assumption-lean covariance matrix estimation in high dimensions
https://philboileau.github.io/cvCovEst/
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Dense target #11

Closed PhilBoileau closed 4 years ago

PhilBoileau commented 4 years ago

Implements dense target linear shrinkage covariance matrix estimator (really rolls off the tongue...), and some miscellaneous fixes to docs and tests.