shrink_estim: Shrinkage of the covariance matrix

In FoReco: Forecast Reconciliation

Shrinkage of the covariance matrix

Description

Shrinkage of the covariance matrix according to Schäfer and Strimmer (2005).

Usage

shrink_estim(x, mse = TRUE)

Arguments

x	A numeric matrix containing the in-sample residuals.
mse	If TRUE (default), the residuals used to compute the covariance matrix are not mean-corrected.

Value

A shrunk covariance matrix.

References

Schäfer, J.L. and Strimmer, K. (2005), A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics, Statistical Applications in Genetics and Molecular Biology, 4, 1

See Also

Utilities: FoReco2matrix(), aggts(), balance_hierarchy(), commat(), csprojmat(), cstools(), ctprojmat(), cttools(), df2aggmat(), lcmat(), recoinfo(), res2matrix(), teprojmat(), tetools(), unbalance_hierarchy()

FoReco documentation built on Sept. 14, 2024, 9:07 a.m.