Nothing
#==================================================
#==================================================
# Shrink sample covariance matrix S
# (Using a maximum entropy bayes covariance estimator)
shrink.S <- function( S,
n,
p )
{
#==================================================
# Test if we need to do shrinkage
boolean <- tryCatch( chol( S ), error = function( e ){ return( FALSE ) } )
if( boolean )
{
print( 'No need for shrinkage!!!' )
return( S )
}
boolean <- FALSE
S.prime <- S + ( ( p - 1 ) / ( n * matrix.trace( S ) ) ) * diag( nrow( S ) )
while( boolean == FALSE )
{
boolean <- tryCatch( chol( S.prime ), error = function( e ){ return( FALSE ) } )
if( length( boolean ) > 1 )
{
break
} else
{
S.prime <- S.prime + ( ( p - 1 ) / ( n * matrix.trace( S.prime ) ) ) * diag( nrow( S.prime ) )
}
}
#==================================================
# Return shrinked covariance matrix
return( S.prime )
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.