Mantis - ALGLIB
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448 Statistics feature have not tried 2012-02-10 11:51 2018-01-02 17:22
SergeyB  
SergeyB  
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0000448: Sample covariation improvements
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
Issue History
2012-02-10 11:51 SergeyB New Issue
2012-02-10 11:51 SergeyB Programming language => Unspecified
2012-02-10 11:53 SergeyB Description Updated
2012-02-15 10:22 SergeyB Target Version 3.6.0 => Near future
2018-01-02 17:18 SergeyB Target Version Near future => Next 'Data mining' release
2018-01-02 17:22 SergeyB Status new => assigned
2018-01-02 17:22 SergeyB Assigned To => SergeyB

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