sigma_estim_ghs: Graphical Horseshoe Covariance Estimation

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

Description

Computes the Graphical Horseshoe estimator of the covariance matrix.

Usage

sigma_estim_ghs(data, burnin = 100, nmc = 5000)

Arguments

data	an nxp data matrix.
burnin	an integer, indicating the number of MCMC burnins.
nmc	an integer, indicating the number of samples.

Details

The Graphical Horseshoe estimator is elaborated in detail in \insertCiteli2019graphical;textualCovEstim. More information on the functionality can be found in the Matlab package https://github.com/liyf1988/GHS.

Value

a list with the following entries

• a pxp estimated covariance matrix.

• an estimation specific tuning parameter, here NA.

References

\insertAllCited

Examples

data(sp200)
sp_rets <- sp200[,-1]
sigma_ghs <- sigma_estim_ghs(sp_rets)[[1]]

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