delta.star: Compute optimal shrinkage intensities for given thresholding...

In novelist: NOVEL Integration of the Sample and Thresholded (NOVELIST) Correlation and Covariance Estimators

Description

Compute optimal shrinkage intensities for given thresholding levels by minimizing the mean square error.

Usage

delta.star(data, thres.range)

Arguments

data	dataset. A n by p matrix.
thres.range	range of thresholding levels. The default value is thres.range=seq(0,1,by=0.05).

Details

Compute the optimal shrinkage internsity δ*(λ) for any given thresholding level λ by minimizing the mean squared error of the NOVELIST covariance estimators to its true covariance matrices.The details of the method are explained by Huang and Fryzlewicz (2015) and Ledoit and Wolf (2003).

Value

delta.star	the pairs of (λ,δ*(λ)).
cov	the array of NOVELIST estimators of covariance matrices with the pairs of (λ,δ*(λ)).
cor	the array of NOVELIST estimators of correlation matrices with the pairs of (λ,δ*(λ)).

References

Huang, N. & Fryzlewicz, P. (2015), "NOVELIST estimator of large correlation and covariance matrices and their inverses". Preprint.

Ledoit, O. & Wolf, M. (2003), "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection." Journal of Empirical Finance 10, 603-621.

novelist documentation built on May 30, 2017, 6:49 a.m.