sigma_estim_bs: Bayes-Stein Covariance Estimation

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

Description

Computes the Bayes-Stein estimator of the covariance matrix.

Usage

sigma_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(sp200)
sp_rets <- sp200[,-1]
sigma_bs <- sigma_estim_bs(sp_rets)[[1]]

antshi/CovEstim documentation built on Nov. 13, 2020, 2:25 p.m.