spd.estimate | R Documentation |
Function implements several forms of covariance estimation.
spd.estimate(x, method = "linshrink", ...)
x |
A data matrix, where rows are observations and columns are variables |
method |
Method of covariance estimation. See details |
... |
Additional arguments passed to estimation functions. See details. |
Allowable estimation methods are:
"sample": The ordinary sample covariance. Generally a poor choice in anything but very low dimensional settings, and is not guaranteed to be positive-definite.
"linshrink": Linear shrinkage estimator proposed by Ledoit and Wolf (2004)
"nlshrink": Non-linear shrinkage estimator proposed by Ledoit and Wolf (2012)
"glasso": Graphical lasso (glasso) estimation using the huge package. Typically generates sparse estimates.
Additional arguments may be passed to the functions which perform estimation. Specifically:
"sample": Uses cov(x, ...)
"linshrink": Uses nlshrink::linshrink_cov(x, ...)
"nlshrink": Uses nlshrink::nlshrink_cov(x, ...)
"glasso": Uses huge(x, method = 'glasso', cov.output = T, ...)
followed by huge.select(x, ...)
. Note that method
cannot be
overridden, as other estimation methods do not return covariance estimates.
Additional arguments to huge()
or huge.select()
should be
prepended with huge.
or select.
, respectively.
In all cases, function will generate a warning if the estimated matrix is not positive definite.
A covariance matrix
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