targetWeights: Extract the target-specific and sample covariance shrinkage...

In HGray384/TAS: Target-Averaged Linear Shrinkage (TAS)

Description

Extract the target-specific and sample covariance shrinkage weights from TAS output

Usage

targetWeights(TASoutput)

Arguments

TASoutput

list – output from the taShrink function.

Value

list – the weights from each target and sample covariance matrix in TAS.

See Also

taShrink

Examples

 set.seed(102)
 X <- matrix(rnorm(50), 10, 5) # p=10, n=5, identity covariance
 X <- t(scale(t(X), center=TRUE, scale=FALSE)) # mean 0
 targets <- getTargetSet(X)[,,c(1, 4, 7)] # use unit variance targets
 tas <- taShrink(X, targets = targets[,,c(1, 3)], plots = FALSE)
 tw1 <- targetWeights(tas)
 barplot(tw1, names.arg = c("target1", "target2", "S"),
 main = "Target-specific shrinkage weights",
 col = c("red", "green", "purple"), space = 0, 
 xlab = "Target", ylab = "Weight")
 tas2 <- addTarget(X, tas, targets[,,2])
 tw2 <- targetWeights(tas2)
 par(mfrow=c(1, 2))
 barplot(tw1, names.arg = c("target1", "target2", "S"),
 main = "Target-specific shrinkage weights",
 col = c("red", "green", "purple"), space = 0, 
 xlab = "Target", ylab = "Weight", ylim = c(0, 0.6))
 barplot(tw2, names.arg = c("target1", "target2", "target3", "S"),
 main = "Target-specific shrinkage weights",
 col = c("red", "green", "blue", "purple"), space = 0, 
 xlab = "Target", ylab = "Weight", ylim = c(0, 0.6))
 par(mfrow=c(1, 1))

HGray384/TAS documentation built on Dec. 14, 2020, 8:41 p.m.