NOVEL Integration of the Sample and Thresholded (NOVELIST) Correlation and Covariance Estimators

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Documentation for package ‘novelist’ version 1.0

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novelist-package NOVEL Integration of the Sample and Thresholded (NOVELIST) Correlation and Covariance Estimators
delta.star Compute optimal shrinkage intensities for given thresholding levels
hardt Hard thresholding estimator of covariance/correlation matrix
novelist NOVEL Integration of the Sample and Thresholded (NOVELIST) Correlation and Covariance Estimators
novelist.assign Parameter-assigned NOVELIST estimators of a covariance/correlation matrix
novelist.assign.inv Parameter-assigned NOVELIST estimators of inverse of a corvariance/correlation matrix
novelist.cov.cv Optimal NOVELIST estimator of a covariance/correlation matrix
novelist.inv.cv Optimal NOVELIST estimator of the inverse of a covariance/correlation matrix
softt Soft thresholding estimators of a covariance/correlation matrix