sigma_estim_wrapper: Wrapper Function for Covariance Estimation I

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

Description

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

Usage

sigma_estim_wrapper(data, est_func, res_all = FALSE, ...)

Arguments

data	an nxp data matrix.
est_func	an estimation function.
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.
...	additional parameters, parsed to est_func

Value

a list with the following entries

• a pxp estimated covariance matrix.

• an estimation specific (tuning) parameter.

Examples

data(sp200)
sp_rets <- sp200[,-1]
sigma_ml <- sigma_estim_wrapper(sp_rets, est_func=sigma_estim_ml)[[1]]

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