KohlerHECTOR/High-Dim-Covariance-Matrix-Estimation

A small library to study some Covariance Matrix Estimators in R. Designed in 2019 as part of my Bachelor's Degree thesis.

Contact: hecthebestbgdu9@gmail.com

IN THIS Repo YOU WILL FIND:

-HighDimCovarPDF: pdf report of main literature around High DImensional Covariance Estimation.
-Presentation High DIm Covar: pptx presentation of main points of the report.
-file with R code and documentation to compute 4 covariance matrix estimators and experiments to compare them and check for some properties.
-file with latex code and figures for the pdf.

SOME COMMENTS: 

-the code for the soft thresholding covariance estimator was corrected to include the threshold "t" in the computation.
-So there is a need to rerun the experiements of section 4 of the report pdf

Note for improvements:

-finish the documentation of the R code
-generalize R code to other multivariate distributions other than MVN
-make the link between thresholding and sparsity more explicit in the report (maybe include the figure of the thresholding estimator computed for data from N(0,I) of the pptx presentation )
-give an example of sample covariance matrix for which the thresholding estimators is not Positive Deinite
-perform real data analysis