f.agg.est: Estimates the coordinate-wise shrinkage factors for...

In trambakbanerjee/casp: Coordinate-wise Adaptive Shrinkage Prediction

Estimates the coordinate-wise shrinkage factors for aggregated prediction

Description

Estimates the coordinate-wise shrinkage factors that are involved in aggregated prediction using the information in the sample covariance matrix \mathbf{S}. See Definition (4) of the casp paper in the reference.

Usage

f.agg.est(rmt, A, beta, tau, mx)

Arguments

rmt	the output from rmt.est
A	a p\times n aggregation matrix with rank(\mathbf{A}\mathbf{A}^T)=p.
beta	the non-negative shape hyper-parameter for the prior on the locations
tau	the positive scale hyper-parameter for the prior on the locations
mx	the sample size of the past observations \mathbf{X}

Details

This function relies on the output from rmt.est and is called by casp.agg.checkloss, and casp.agg.linexloss. Please see Definition (4) of the casp paper in the reference for more details.

Value

1. f - estimated shrinkage factors

References

1. Trambak Banerjee, Gourab Mukherjee, and Debashis Paul. Improved Shrinkage Prediction under a Spiked Covariance Structure, 2021.

See Also

rmt.est, casp.agg.checkloss, casp.agg.linexloss

Examples

library(casp)
tau = 1
beta = 0.5
mx = 1
K = 4
S = diag(c(10,8,6,4,rep(1,6)))
mw = 50
rmt<- rmt.est(K,S,mw)
f<- f.est(rmt,beta,tau,mx)

trambakbanerjee/casp documentation built on Nov. 22, 2022, 7:24 p.m.