R/Ind.Cov.R

In yanyachen/FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

#' @title Independence opreator on Covariance Matrix
#'
#' @description
#' Apply independence model on a covariance matrix.
#'
#' @param sigma a covariance matrix
#' @return a regularized covariance matrix after applying independence model
#' @examples
#' data(m.excess.c10sp9003)
#' cov.SAM <- cov(m.excess.c10sp9003)
#' Ind.Cov(cov.SAM)
#' @importFrom stats cov
#' @export

Ind.Cov <- function(sigma) {
  COV <- diag(diag(cov(sigma)))
  dimnames(COV) <- list(colnames(sigma), colnames(sigma))
  return(COV)
}