Ind.Cov {FinCovRegularization} | R Documentation |
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)
[Package FinCovRegularization version 1.1.0 Index]