SHIP (version 2.0.3)

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)

Value

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

Arguments

x

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

tar

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

Author

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"))