shrink.estim {SHIP}R Documentation

Shrinkage estimator of the covariance matrix, given a data set and a covariance target.

Description

The shrinkage estimator is computed independently of the target's nature.

Usage

shrink.estim(x, tar)

Arguments

x

A n \times p matrix (the data set) .

tar

A p \times p matrix (the covariance target).

Value

A p \times p shrinkage covariance matrix and the estimated \lambda.

Author(s)

Monika Jelizarow and Vincent Guillemot

References

J. Schaefer and K. Strimmer, 2005. A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics. Statist. Appl. Genet. Mol. Biol. 4:32.

Examples


# Simulate dataset
x <- matrix(rnorm(20*30),20,30)
# Try different targets
shrink.estim(x, tar = build.target(x, type="D"))
shrink.estim(x, tar = build.target(x, type="D"))


[Package SHIP version 2.0.3 Index]