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 |
tar |
A |
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]