| 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,