Open tlienart opened 5 years ago
Linear Shrinkage
corpcor
Nonlinear Shrinkage
(some of these may overlap)
Other estimators
covrob
CovarianceMatrices.jl
More links:
Repos
Nice list, I would add one more:
Ha cool, I saw that these guys published 3 or 4 papers but wasn't sure whether it was always about the same estimator or different ones. Will check.
Cleaned up list
Shrinkage estimators
Linear Shrinkage
corpcor
packageNonlinear Shrinkage
M-Estimators
MCD estimators and related alternatives
Thresholding estimators
HAC estimators
Rough list
(some of these may overlap)
CHQBC(looks irrelevant)Tong and Wang probably similar to Strimmer's(looks irrelevant)Other estimators
covrob
r package (Stahel-Donoho and related)CovarianceMatrices.jl
and maybe consider the fast algorithm version by Heberle and Sattarhoff. Also related estimators like HC, QS-PW etc. see hereMore links:
Repos