denseLinearShrinkEst | R Documentation |
denseLinearShrinkEst()
computes the asymptotically
optimal convex combination of the sample covariance matrix and a dense
target matrix. This target matrix's diagonal elements are equal to the
average of the sample covariance matrix estimate's diagonal elements, and
its off-diagonal elements are equal to the average of the sample covariance
matrix estimate's off-diagonal elements. For information on this
estimator's derivation, see \insertCiteLedoit2020b;textualcvCovEst and
\insertCiteshafer2005;textualcvCovEst.
denseLinearShrinkEst(dat)
dat |
A numeric |
A matrix
corresponding to the estimate of the covariance
matrix.
denseLinearShrinkEst(dat = mtcars)
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