shrink.estim: Shrinkage estimator of the covariance matrix, given a data...

Description Usage Arguments Value Author(s) References Examples

View source: R/shrink.estim.R

Description

The shrinkage estimator is computed independently of the target's nature.

Usage

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Arguments

x

A n x p matrix (the data set) .

tar

A p x p matrix (the covariance target).

Value

A p x p shrinkage covariance matrix and the estimated lambda.

Author(s)

Monika Jelizarow and Vincent Guillemot

References

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.

Examples

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# Simulate dataset
x <- matrix(rnorm(20*30),20,30)
# Try different targets
shrink.estim(x,tar=build.target(x,type="D"))

SHIP documentation built on May 29, 2017, 11:25 a.m.