cov_shrink_to_identity: Shrink the Covariance Matrix towards to Identity

In Reckziegel/PortfolioMoments: Functions to be used in conjuction with PortfolioAnalytics

Description

Implements the covariance matrix as described in Ledoit & Wolf (2004).

Usage

cov_shrink_to_identity(R, shrink = NULL, portfolio = TRUE)

Arguments

R	A vector, matrix, data.frame, xts, timeSeries or zoo object to be checked and coerced.
shrink	A number between 0 and 1.
portfolio	If TRUE only the covariance matrix is printed. If FALSE a list is returned with the covariance-matrix and the shrinkage intensity.

Value

A variance-covariance matrix.

Author(s)

Bernardo Reckziegel

References

Ledoit, Olivier, and Michael Wolf. A well-conditioned estimator for large-dimensional covariance matrices. Journal of multivariate analysis 88.2 (2004): 365-411.

Examples

cov_shrink_to_identity(EuStockMarkets)
cov_shrink_to_identity(EuStockMarkets, portfolio = FALSE)

Reckziegel/PortfolioMoments documentation built on May 29, 2019, 1:21 p.m.