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ID Category Severity Reproducibility Date Submitted Last Update
0000448 [ALGLIB] Statistics feature have not tried 2012-02-10 11:51 2012-02-15 10:22
Reporter SergeyB View Status public  
Assigned To
Priority normal Resolution open  
Status new   Product Version
Summary 0000448: Sample covariation improvements
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
Additional Information
Programming language Unspecified
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- Issue History
Date Modified Username Field Change
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


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