add_shrink_sigma: Add Calculated Sample Sigma to Estimates
In chrishaarstick/madstork.opt: MadStork Portfolio Optimization
Description
Usage
Arguments
Details
Value
Description
Functions adds shrunk sigma estimates using lediot and wolf shrinkage
estimator appraoch. See cov.shrink
Usage
1
add_shrink_sigma(eobj, ...)
Arguments
eobj
estimates object
...
additional arguments to pass to function
Details
Default behavior is to estimate lambda and lambda.var empricially. These can
lead to strong shrinkage estimates. Manual values can be provided to both
ranges between [0,1]
Value
updated estimates object
chrishaarstick/madstork.opt documentation built on Nov. 12, 2019, 9:39 p.m.
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Description Usage Arguments Details Value
Description
Functions adds shrunk sigma estimates using lediot and wolf shrinkage
estimator appraoch. See cov.shrink
Usage
1 | add_shrink_sigma(eobj, ...)
|
Arguments
eobj |
estimates object |
... |
additional arguments to pass to function |
Details
Default behavior is to estimate lambda and lambda.var empricially. These can lead to strong shrinkage estimates. Manual values can be provided to both ranges between [0,1]
Value
updated estimates object
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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