ShrnkMatInv {HiDimDA}R Documentation

ShrnkMatInv objects: precision (inverse of covariance) matrices associated with shrunken estimates of a covariance

Description

Creates a ‘ShrnkMatInv’ object.

Usage

ShrnkMatInv(U, D, p, q, Intst, Trgt="Idntty")

Arguments

U

A p by q matrix with the orthonomal eigenvectors of the original (unshrunken) covariance estimate.

D

A p-dimensional vector with the eigenvalues of the original (unshrunken) covariance estimate.

p

The dimension of the covariance matrix.

q

The rank of the original (unshrunken) covariance estimate.

Intst

The target intensity used by the shunk estimator.

Trgt

The target used by the shunk estimator. If set to the string “Idntty” (default) a p-dimensional matrix identity target will be assumed. Otherwise a matrix-type object representing a symmetric matrix target.

Value

An object of class ‘ShrnkMatInv’ for which the generic method ‘as.matrix’ (converting to a traditional numeric matrix), as well as specialized methods for matrix inversion, multiplication, and element-wise arithmetic operations, are available.

See Also

ShrnkMat, solve.ShrnkMatInv, LeftMult.ShrnkMatInv,

RightMult.ShrnkMatInv


[Package HiDimDA version 0.2-6 Index]