ShrinkCovMat

Shrinkage Covariance Matrix Estimators

v2.1.0 · Oct 6, 2025 · GPL-2 | GPL-3

Description

Provides nonparametric Steinian shrinkage estimators of the covariance matrix that are suitable in high dimensional settings, that is when the number of variables is larger than the sample size.

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14 OK

Show all 14 flavors

Flavor	Status	Time
r-devel-linux-x86_64-debian-clang	OK	64.1s
r-devel-linux-x86_64-debian-gcc	OK	47s
r-devel-linux-x86_64-fedora-clang	OK	94.3s
r-devel-linux-x86_64-fedora-gcc	OK	112s
r-devel-macos-arm64	OK	22s
r-devel-windows-x86_64	OK	112s
r-oldrel-macos-arm64	OK
r-oldrel-macos-x86_64	OK	78s
r-oldrel-windows-x86_64	OK	127s
r-patched-linux-x86_64	OK	55.3s
r-release-linux-x86_64	OK	53.2s
r-release-macos-arm64	OK
r-release-macos-x86_64	OK	108s
r-release-windows-x86_64	OK	105s

Check History

OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026

Dependency Network

Version History

new 2.1.0 Mar 10, 2026

updated 2.1.0 ← 1.4.0 diff Oct 5, 2025

updated 1.4.0 ← 1.3.0 diff Jul 29, 2019

updated 1.3.0 ← 1.2.0 diff Jul 24, 2019

updated 1.2.0 ← 1.1.2 diff Jul 10, 2017

updated 1.1.2 ← 1.1.1 diff May 21, 2016

updated 1.1.1 ← 1.1.0 diff Sep 7, 2015

updated 1.1.0 ← 1.0.3 diff Jan 7, 2015

updated 1.0.3 ← 1.0.2 diff Nov 2, 2014

updated 1.0.2 ← 1.0.1 diff Oct 19, 2014

updated 1.0.1 ← 1.0.0 diff Aug 11, 2014

new 1.0.0 Apr 16, 2014