Haff_shrinkage: Haff Shrinkage Precision Estimator

In BenBarnard/covEst: Estimators for Covariance Matrices

Description

Haff Shrinkage Precision Estimator

Usage

Haff_shrinkage(x, ...)

Arguments

x	data matrix
...	other options (currently unused)

Details

Given a matrix of observations, this function will calculate the Haff Shrinkage Estimator of the sample precision matrix, as discussed in Haff (1979). Because this estimator relies on the existence of the sample precision matrix (and relatedly, a strictly positive covariance determinant), this estimator is ill-suited for high-dimensional cases (N < p).

Value

Haff shrinkage precision estimator

Examples

Haff_shrinkage(as.matrix(iris[-5]))

BenBarnard/covEst documentation built on May 5, 2019, 2:40 p.m.