FinCovRegularization (version 1.1.0)

Ind.Cov: Independence opreator on Covariance Matrix

Description

Apply independence model on a covariance matrix.

Usage

Ind.Cov(sigma)

Arguments

sigma

a covariance matrix

Value

a regularized covariance matrix after applying independence model

Examples

data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
Ind.Cov(cov.SAM)