The shrinkage estimator is computed independently of the target's nature.
A n x p matrix (the data set) .
A p x p matrix (the covariance target).
A p x p shrinkage covariance matrix and the estimated lambda.
Monika Jelizarow and Vincent Guillemot
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.
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