SHIP (version 1.0.2)

shrink.estim: 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 $n x p$ matrix (the data set) .

tar

A $p x p$ matrix (the covariance target).

Value

A $p x p$ shrinkage covariance matrix and the estimated $lambda$.

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"))