Covariance Estimation Regularized by Nuclear Norm Penalties

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Documentation for package ‘cernn’ version 0.1

• DESCRIPTION file.

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cernn	Compute the regularization path for Covariance Estimate Regularized by Nuclear Norms (CERNN)
get_alpha	Compute alpha parameter for covariance regularization.
get_lambda_max	Compute lambda_max parameter for covariance regularization.
loss_entropy	Entropy Loss
loss_quadratic	Quadratic Loss
select_lambda	Selection of penalty parameter based on cross-validation
shrink_eigen	Nonlinear shrinkage of sample eigenvalues