ash_cov_master: Adaptive shrinkage of correlation matrix from data

Description Usage Arguments Value

Description

This function performs adaptive shrinkage of sample correlation matrix obtained from data

Usage

1

Arguments

data

The samples by features data matrix

Value

The adaptive shrinkage correlation and covariance matrices, the shrink intensity and the Ledoit-Wolf adjusted adaptive shrunk versions of correlation and covraince matrices.


kkdey/ashnet documentation built on May 20, 2019, 10:33 a.m.