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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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Fix inconsistency in linearShrinkLWEst() #68

Closed privefl closed 1 year ago

privefl commented 1 year ago

E.g. try

linearShrinkLWEst(iris[1:4])
linearShrinkLWEst(iris[1:4] - 4)
PhilBoileau commented 1 year ago

Thanks, Florian! cvCovEst() handles scaling internally, but individual estimators might not. I'll go through the remaining estimators to make sure that they behave as expected when used on their own.