shrinkcovmat.identity-deprecated: Shrinking the Sample Covariance Matrix Towards the Identity...

In AnestisTouloumis/ShrinkCovMat: Shrinkage Covariance Matrix Estimators

Shrinking the Sample Covariance Matrix Towards the Identity Matrix

Description

Provides a nonparametric Stein-type shrinkage estimator of the covariance matrix that is a linear combination of the sample covariance matrix and of the identity matrix.

Usage

shrinkcovmat.identity(data, centered)

Arguments

data	a numeric matrix containing the data.
centered	a logical indicating if the mean vector is the zero vector.

Details

The rows of the data matrix data correspond to variables and the columns to subjects.

Value

Returns an object of the class 'shrinkcovmathat' that has components:

Sigmahat	The Stein-type shrinkage estimator of the covariance matrix.
lambdahat	The estimated optimal shrinkage intensity.
Sigmasample	The sample covariance matrix.
Target	The target covariance matrix.
centered	If the data are centered around their mean vector.

Author(s)

Anestis Touloumis

References

Touloumis, A. (2015) nonparametric Stein-type Shrinkage Covariance Matrix Estimators in High-Dimensional Settings. Computational Statistics & Data Analysis 83, 251–261.

See Also

ShrinkCovMat-deprecated

AnestisTouloumis/ShrinkCovMat documentation built on July 30, 2023, 7:38 a.m.