linearShrinkEst {cvCovEst} | R Documentation |
linearShrinkEst()
computes the linear shrinkage estimate
of the covariance matrix for a given value of alpha
. The linear
shrinkage estimator is defined as the convex combination of the sample
covariance matrix and the identity matrix. The choice of alpha
determines the bias-variance tradeoff of the estimators in this class:
values near 1 are more likely to exhibit high variance but low bias, and
values near 0 are more likely to be be very biased but have low variance.
linearShrinkEst(dat, alpha)
dat |
A numeric |
alpha |
A |
A matrix
corresponding to the estimate of the covariance
matrix.
linearShrinkEst(dat = mtcars, alpha = 0.1)