jsShrink: James-Stein type shrinkage estimate of covariance matrix

In fincov: Methods for estimating covariance matrices

Description

Compute the covariance matrix estimate using a James-Stein type shrinkage estimate. This function is implemented using the cov.shrink function from the corpcor package.

Usage

  jsShrink(x, lambda, lambda.var, w, verbose = FALSE)

Arguments

x	xts or matrix of asset returns
lambda	correlation shrinkage intensity
lambda.var	variance shrinkage intensity
w	optional: weights for each data point
verbose	output status messages while computing

Value

covariance matrix estimate

Author(s)

Ross Bennett

References

TODO

fincov documentation built on May 2, 2019, 5:17 p.m.