cov_estim_wrapper2: Wrapper Function for Covariance Estimation II

In antshi/CovEstim: (High-dimensional) Covariance Estimation

Wrapper Function for Covariance Estimation II

Description

Estimates the covariance matrix of a dataset according to the user-defined character string.

Usage

cov_estim_wrapper2(
  data,
  est_type,
  param = NULL,
  factors = NULL,
  zeromean_log = FALSE,
  res_all = FALSE
)

Arguments

data	an nxp data matrix.
est_type	a character string, defining the estimation method.
param	a double, setting an estimation specific (tuning) parameter.
factors	an nxm data matrix of factors.
zeromean_log	a logical, indicating whether the data matrix has zero means (TRUE) or not (FALSE). Default value is FALSE.
res_all	a logical, defining the return object. If FALSE, only the estimated covariance matrix is returned. If TRUE, a list with two entries is returned. The first entry is the estimated covariance matrix. The second entry is the estimation specific (tuning) parameter. Default value is FALSE.

Value

a list with following entries

• a pxp estimated covariance matrix

• an estimation specific tuning parameter

Examples

data(rets_m)
sigma_ml <- cov_estim_wrapper2(rets_m, "ML")[[1]]
sigma_lwcc <- cov_estim_wrapper2(rets_m, "LW-CC", param = 0.3, res_all = TRUE)[[1]]

antshi/CovEstim documentation built on June 10, 2025, 3:11 a.m.