iso_cov: Stein's isotonized covariance estimator

Description Usage Arguments Value Examples

View source: R/stcov.R

Description

Stein's isotonized covariance estimator

Usage

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iso_cov(S, n)

Arguments

S

Sample covariance matrix

n

Number of observations

Value

Estimated covariance matrix

Examples

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p <- 5
n <- 10
S <- rWishart(1, n, diag(p))[,,1]
iso_cov(S, n)

stcov documentation built on May 29, 2017, 9:14 a.m.