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nlshrink - Non-Linear Shrinkage Estimation of Population Eigenvalues and Covariance Matrices
Non-linear shrinkage estimation of population eigenvalues and covariance matrices, based on publications by Ledoit and Wolf (2004, 2015, 2016).
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3.86 score 1 dependents 48 scripts 326 downloadsrIsing - High-Dimensional Ising Model Selection
Fits an Ising model to a binary dataset using L1 regularized logistic regression and extended BIC. Also includes a fast lasso logistic regression function for high-dimensional problems. Uses the 'libLBFGS' optimization library by Naoaki Okazaki.
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cpp
2.70 score 3 scripts 208 downloads