covEB-package: Empirical Bayes estimate of block diagonal covariance...

Description Details Author(s)

Description

Using bayesian methods to estimate correlation matrices assuming that they can be written and estimated as block diagonal matrices. These block diagonal matrices are determined using shrinkage parameters that values below this parameter to zero.

Details

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The function for this package is EBsingle that calculates an empirical Bayes estimate of a given covariance matrix assuming that is has a block diagonal structure.

Author(s)

C. Pacini

Maintainer: C. Pacini <clarepacini@gmail.com>


covEB documentation built on Nov. 8, 2020, 8:25 p.m.