cscov {FoCo2}R Documentation

Cross-sectional covariance matrix approximation

Description

Extended version of the FoReco::cscov function, introducing two new approximations for the covariance matrix (both shrunk and sample versions). Specifically, shrbe/sambe assume no correlation between experts, while shrbv/sambv assume no correlation between variables.

Usage

## S3 method for class 'shrbe'
cscov(comb = "shrbe", ..., n = NULL, p = NULL, matNA = NULL,
      res = NULL, mse = TRUE, shrink_fun = NULL)

## S3 method for class 'sambe'
cscov(comb = "sambe", ..., n = NULL, p = NULL, matNA = NULL,
      res = NULL, mse = TRUE)

## S3 method for class 'shrbv'
cscov(comb = "shrbv", ..., n = NULL, p = NULL, matNA = NULL,
      res = NULL, mse = TRUE, shrink_fun = NULL)

## S3 method for class 'sambv'
cscov(comb = "sambv", ..., n = NULL, p = NULL, matNA = NULL,
      res = NULL, mse = TRUE)

Arguments

comb

A string specifying the reconciliation method.

  • FoReco approaches: "ols", "wls", "shr", "sam".

  • "shrbe"/"sambe" - shrunk/sample block-diagonal covariance by experts.

  • "shrbv"/"sambv" - shrunk/sample block-diagonal covariance by variables.

...

Arguments passed on to FoReco::cscov.

n

Total number of variables, n.

p

Total number of experts, p.

matNA

A (n \times p) matrix consisting of 0s and 1s, where each element indicates whether expert j (column) has provided a forecast for variable i (row). If expert j has provided a forecast for variable i, the corresponding element (i,j) is 1; otherwise, it is 0.

res

A list of p numeric (N \times n) matrix containing the in-sample residuals. This input is used to compute some covariance matrices.

mse

If TRUE (default) the residuals used to compute the covariance matrix are not mean-corrected.

shrink_fun

Shrinkage function of the covariance matrix, FoReco::shrink_estim (default).

Value

A (m \times m) symmetric positive (semi-)definite matrix, with m = \sum_{j = 1}^p n_j, n_j \leq n.

See Also

Other Optimal combination: csmtc(), csocc(), occmat()


[Package FoCo2 version 0.1.2 Index]