estimateCovariance: Estimate Covariance Matrix from Residuals
In VARcpDetectOnline: Sequential Change Point Detection for High-Dimensional VAR Models
View source: R/main_function.R
estimateCovariance R Documentation
Estimate Covariance Matrix from Residuals
Description
Estimates the covariance (or variance) matrix of the residuals using shrinkage estimation.
This function utilizes corpcor::cov.shrink for covariance estimation.
Usage
estimateCovariance(res, ...)
Arguments
res
A numeric matrix of residuals from the VAR model.
...
Additional arguments passed to corpcor::cov.shrink (if any).
Value
A numeric covariance matrix.
VARcpDetectOnline documentation built on July 3, 2026, 1:07 a.m.
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View source: R/main_function.R
| estimateCovariance | R Documentation |
Estimate Covariance Matrix from Residuals
Description
Estimates the covariance (or variance) matrix of the residuals using shrinkage estimation.
This function utilizes corpcor::cov.shrink for covariance estimation.
Usage
estimateCovariance(res, ...)
Arguments
res |
A numeric matrix of residuals from the VAR model. |
... |
Additional arguments passed to |
Value
A numeric covariance matrix.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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