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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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True risk option #16

Closed PhilBoileau closed 4 years ago

PhilBoileau commented 4 years ago

Provides the possibility to compute the ratio of conditional risk differences under a Multivariate Gaussian of the cvCovEst estimator selection, and that of the cross-validated oracle.