pi_nu_hat: Estimator of pi_ij and nu_ij

In LeonardMK/covshrink: Estimate the shrinkage covariance by Ledoit and Wolf (2003)

Description

Estimator of pi_ij and nu_ij

Usage

pi_nu_hat(data, mat_covariance, mat_pairwise_obs, na.rm = FALSE)

Arguments

data	matrix or data.frame containing only numeric variables
mat_covariance	matrix containing sample covariance estimates.
mat_pairwise_obs	matrix of pairwise observations.
na.rm	logical value indicating whether NA values should be stripped before the computation proceeds.

Value

matrix of individual estimates for π_{ij} and the entries √{s_{j}^2 / s_{i}^2} \times ν_{ii, ij} and √{s_{i}^2 / s_{j}^2} \times ν_{jj, ij}.

LeonardMK/covshrink documentation built on Dec. 18, 2021, 4:33 a.m.