cov_estim_bs: Bayes-Stein Covariance Estimation
In antshi/CovEstim: (High-dimensional) Covariance Estimation
cov_estim_bs R Documentation
Bayes-Stein Covariance Estimation
Description
Computes the Bayes-Stein (BS) estimator of the covariance matrix.
Usage
cov_estim_bs(data)
Arguments
data
an nxp data matrix.
Details
The Bayes-Stein estimator of the covariance matrix is computed according
to \insertCitejorion1986bayes;textualcovestim.
Value
a list with the following entries
a pxp estimated covariance matrix.
an estimation specific tuning parameter, here an NA.
References
\insertAllCited
Examples
data(rets_m)
sigma_bs <- cov_estim_bs(rets_m)[[1]]
antshi/CovEstim documentation built on June 10, 2025, 3:11 a.m.
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| cov_estim_bs | R Documentation |
Bayes-Stein Covariance Estimation
Description
Computes the Bayes-Stein (BS) estimator of the covariance matrix.
Usage
cov_estim_bs(data)
Arguments
data |
an nxp data matrix. |
Details
The Bayes-Stein estimator of the covariance matrix is computed according to \insertCitejorion1986bayes;textualcovestim.
Value
a list with the following entries
a pxp estimated covariance matrix.
an estimation specific tuning parameter, here an NA.
References
\insertAllCitedExamples
data(rets_m)
sigma_bs <- cov_estim_bs(rets_m)[[1]]
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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