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ID |
Category |
Severity |
Reproducibility |
Date Submitted |
Last Update |
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0000448 |
[ALGLIB] Statistics |
feature |
have not tried |
2012-02-10 11:51 |
2018-01-02 17:22 |
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Reporter |
SergeyB |
View Status |
public |
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Assigned To |
SergeyB |
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Priority |
normal |
Resolution |
open |
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Status |
assigned |
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Product Version |
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Summary |
0000448: Sample covariation improvements |
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Description |
1. N and N-1 forms of the finite sample covariation (correlation is not needed). We can add one more parameter with default value (to have backward compatibility).
2. POSSIBLE: shrinkage estimation, see http://en.wikipedia.org/wiki/Estimation_of_covariance_matrices#Shrinkage_estimation and http://cran.r-project.org/web/packages/corpcor/index.html |
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Additional Information |
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Programming language |
Unspecified |
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Attached Files |
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