sigma_estim: Wrapper Function for Covariance Estimation II
In antshi/CovEstim: (High-dimensional) Covariance Estimation

Description Usage Arguments Value Examples

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

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

`data`	an nxp data matrix.
`est_type`	a character string, defining the estimation method.
`param`	a double, setting an estimation specific (tuning) parameter.
`factors`	a 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.

a list with following entries

a pxp estimated covariance matrix
an estimation specific tuning parameter

data(sp200)
sp_rets <- sp200[,-1]
sigma_ml <- sigma_estim(sp_rets, "ML")[[1]]
sigma_lwcc <- sigma_estim(sp_rets, "LW-CC", param=0.3, res_all=TRUE)[[1]]