iso_eig: Stein's isotonized eigenvalue estimates

In stcov: Stein's Covariance Estimator

Description

Stein's isotonized eigenvalue estimates

Usage

iso_eig(l, n)

Arguments

l	Sample eigenvalues
n	Number of observations

Value

Estimated eigenvalues

Examples

p <- 5
n <- 10
S <- rWishart(1, n, diag(p))[,,1]
l <- eigen(S)$val
iso_eig(l, n)

Example output

[1] 14.45150 14.45150  7.72668  7.72668  7.72668

stcov documentation built on May 1, 2019, 6:39 p.m.