estimateCovariance {VARcpDetectOnline}R Documentation

Estimate Covariance Matrix from Residuals

Description

Estimates the covariance (or variance) matrix of the residuals using shrinkage estimation. This function utilizes corpcor::cov.shrink for covariance estimation.

Usage

estimateCovariance(res, ...)

Arguments

res

A numeric matrix of residuals from the VAR model.

...

Additional arguments passed to corpcor::cov.shrink (if any).

Value

A numeric covariance matrix.


[Package VARcpDetectOnline version 0.2.0 Index]