cov_estim_sh: Stein-Haff Covariance Estimation
In antshi/CovEstim: (High-dimensional) Covariance Estimation
cov_estim_sh R Documentation
Stein-Haff Covariance Estimation
Description
Computes the Stein-Haff (SH) estimator of the covariance matrix.
Usage
cov_estim_sh(data)
Arguments
data
an nxp data matrix.
Details
The estimation procedure follows \insertCitestein1975estimation;textualcovestim and
\insertCitehaff1991variational;textualcovestim.
Originally found under \insertCitestcovpackage;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_sh <- cov_estim_sh(rets_m)[[1]]
antshi/CovEstim documentation built on June 10, 2025, 3:11 a.m.
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| cov_estim_sh | R Documentation |
Stein-Haff Covariance Estimation
Description
Computes the Stein-Haff (SH) estimator of the covariance matrix.
Usage
cov_estim_sh(data)
Arguments
data |
an nxp data matrix. |
Details
The estimation procedure follows \insertCitestein1975estimation;textualcovestim and \insertCitehaff1991variational;textualcovestim. Originally found under \insertCitestcovpackage;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_sh <- cov_estim_sh(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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