cvCovEst: Cross-validated covariance matrix estimator selection and evaluation in R
Abstract
The cvCovEst R package implements the framework of cross-validated loss-based estimation specifically for use with covariance matrix estimators, allowing for the selection of an asymptotically optimal covariance matrix estimator. Additionally implemented are a range of covariance matrix estimation routines.
Type
Publication
In Journal of Open Source Software
Nima Hejazi
Assistant Professor of Biostatistics
My research lies at the intersection of causal inference and machine learning, developing flexible methodology for statistical inference tailored to modern experiments and observational studies in the biomedical and public health sciences.