denseLinearShrinkEst: Linear Shrinkage Estimator, Dense Target

In cvCovEst: Cross-Validated Covariance Matrix Estimation

Linear Shrinkage Estimator, Dense Target

Description

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.

Usage

denseLinearShrinkEst(dat)

Arguments

dat	A numeric data.frame, matrix, or similar object.

Value

A matrix corresponding to the estimate of the covariance matrix.

References

\insertAllCited

Examples

denseLinearShrinkEst(dat = mtcars)

cvCovEst documentation built on May 29, 2024, 5:51 a.m.