sigma_estim_ghs: Graphical Horseshoe Covariance Estimation

Description Usage Arguments Details Value References Examples

View source: R/cov-estim-gh.R

Description

Computes the Graphical Horseshoe estimator of the covariance matrix.

Usage

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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

References

\insertAllCited

Examples

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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.