stein_eig: Stein's raw (unisotonized) eigenvalue estimates
In stcov: Stein's Covariance Estimator

Stein's raw (unisotonized) eigenvalue estimates

1	stein_eig(l, n)

`l`	Sample eigenvalues
`n`	Number of observations

Estimated eigenvalues

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

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

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