ledoit_wolf {GGMncv}

Ledoit and Wolf Shrinkage Estimator

Description

Compute the Ledoit and Wolf shrinkage estimator of the covariance matrix (Ledoit and Wolf 2004), which can be used for the initial inverse covariance matrix in ggmncv.

Usage

ledoit_wolf(Y, ...)

Arguments

Y

A data matrix (or data.frame) of dimensions n by p.

...

Currently ignored.

Value

Inverse correlation matrix.

References

Ledoit O, Wolf M (2004). “A well-conditioned estimator for large-dimensional covariance matrices.” Journal of Multivariate Analysis, 88(2), 365–411.

Examples

# ptsd
Y <- ptsd[,1:5]

# shrinkage
ledoit_wolf(Y)

# non-reg
solve(cor(Y))