cvCovEst: Cross-validated covariance matrix estimator selection and evaluation in R


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.

In Journal of Open Source Software
Nima Hejazi
Nima Hejazi
NSF Postdoctoral Research Fellow in Biostatistics

My research interests lie at the intersection of causal inference and machine learning, especially as applied to the statistical analysis of complex data from observational studies and experiments in the biomedical and health sciences.