angy89 / RobustSparseCorrelation

This is the R implementation of a robust correlation matrix estimator usefull in case of high-dimensional data to remove the bias. It also implement an adaptive thresholding technique based on cross validation tecnique to regularize the correlation matrix.
13Updated 5 years ago

Alternatives and similar repositories for RobustSparseCorrelation:

Users that are interested in RobustSparseCorrelation are comparing it to the libraries listed below