sigma_estim_nercome: Nonparametric eigenvalue-regularized Precision or Covariance...

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

Description

Computes the NERCOME estimator of the covariance matrix.

Usage

sigma_estim_nercome(data, split = NULL)

Arguments

data	an nxp data matrix.
split	an integer, indicating the position of the split. Default value is NULL and an optimal split is calculated with permutation along a sequence as in \insertCitelam2016nonparametric;textualCovEstim.

Details

More information on the NERCOME estimator is found in \insertCitelam2016nonparametric;textualCovEstim.

Value

a list with the following entries

• a pxp estimated covariance matrix.

• an estimation specific tuning parameter, here the split.

References

\insertAllCited

Examples

data(sp200)
sp_rets <- sp200[,-1]
sigma_nercome <- sigma_estim_nercome(sp_rets)[[1]]

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