% Last modified: 12 January 2007
%
% Matlab code (c) by Kevin P. Murphy <murphyk@cs.ubc.ca>
%
% This directory contains a fast (!) Octave / Matlab implementation of 
% the Stein-type shrinkage estimator of the covariance matrix developed 
% in Schaefer and Strimmer (2005, =correlation estimator)
% and Opgen-Rhein and Strimmer (2007, =variance estimator).
%
%
% List of included files:
%
% covshrinkKPM.m          % shrinkage covariance estimator 
%                         % (coded by K.P. Murphy, much (!) faster than
%                         % the original version programmed by K. Strimmer)
%
% largedata.txt
% smalldata.txt
% testscript-matlab.txt   % Matlab / Octave test script
% testscript-R.txt        % R test script for comparison
%
% This code is released under the GNU GPL License (version 2, or later). 
%
%
% References:
%
%   J. Schaefer and K. Strimmer.  2005.  A shrinkage approach to 
%   large-scale covariance matrix estimation and implications 
%   for functional genomics. Statist. Appl. Genet. Mol. Biol. 4:32.
%   http://www.bepress.com/sagmb/vol4/iss1/art32/
%   (= shrinkage correlation estimator)
%
%   R. Opgen-Rhein and K. Strimmer.  2007.  Accurate ranking of 
%   differentially expressed genes by a distribution-free shrinkage 
%   approach. Statist. Appl. Genet. Mol. Biol. To appear.
%   (= shrinkage variance estimator)
%
%
% A complementary R implementation is available in the CRAN package "corpcor"
% http://cran.r-project.org/web/packages/corpcor/