mean_bs {HDShOP} | R Documentation |
Bayes-Stein shrinkage estimator of the mean vector
Description
Bayes-Stein shrinkage estimator of the mean vector as suggested in Jorion (1986). The estimator is given by
where
is the sample mean vector,
and
are
derived using Bayesian approach (see Eq.(14) and Eq.(17) in
Jorion (1986)).
Usage
mean_bs(x)
Arguments
x |
a p by n matrix or a data frame of asset returns. Rows represent different assets, columns – observations. |
Value
a numeric vector containing the Bayes-Stein shrinkage estimator of the mean vector
References
Jorion P (1986). “Bayes-Stein estimation for portfolio analysis.” Journal of Financial and Quantitative Analysis, 279–292.
Examples
n <- 7e2 # number of realizations
p <- .5*n # number of assets
x <- matrix(data = rnorm(n*p), nrow = p, ncol = n)
mm <- mean_bs(x=x)
[Package HDShOP version 0.1.5 Index]