Description Usage Arguments Details Value Examples
Haff Shrinkage Precision Estimator
1 | Haff_shrinkage(x, ...)
|
x |
data matrix |
... |
other options (currently unused) |
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).
Haff shrinkage precision estimator
1 | Haff_shrinkage(as.matrix(iris[-5]))
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