Supplementary material for Keleș and Chun (2008)
TEST, Volume 17, Issue 1
Comments on: "Augmenting the bootstrap to analyze high dimensional genomic data" by Tyekucheva and Chiaromonte.
Connections to the ridge regularized covariance estimator with bagging

Code: function.R (to be loaded into the R session)
            run.R  (actual script to run simulations)
Mean Relatived Squared Errors (RSEs)  for  various values of the smoothing (tuning) parameter [0.001, 1.2].
A total of 500 simulations is generated for each scenario.

Panels A, B,  and C correspond to sample sizes n = 10p, n = 1.1p, and n = 0.5p, respectively.

Gaussian Data, Sigma1
Gaussian Data, Sigma2
Gaussian Data, Sigma3
Non-Gaussian Data