shafer_strimmer_shrinker: Performs Shafer-Strimmer shrinkage on covariance matrix

Description Usage Arguments Value

Description

This function performs Shafer Strimmer shrinkage on a covariance matrix

Usage

1

Arguments

data

The samples by features data matrix.

Value

Returns a list with two items - the Shafer-Strimmer shrunk covariance matrix and the shrinkage intensity.


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