structured_cov: Estimate of the structured covariance matrix

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

Description

Estimate of the structured covariance matrix

Usage

structured_cov(mat_covariance, na.rm = FALSE, mat_obs_weight = NULL)

Arguments

mat_covariance	matrix containing sample covariance estimates.
na.rm	logical value indicating whether NA values should be stripped before the computation proceeds.
mat_obs_weight	matrix of pairwise observations. If provided an observations weighted average of the correlation coefficients is computed giving higher weight to coefficients computed from more data.

Value

matrix containing the \bar{ρ} \times s_{i} \times s_{j} on for variable i and j on the nondiagonal and s_i^2 on the diagonal.

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