get_cov_qis {hedgedrf}

Quadratic-inverse shrinkage

Description

Nonlinear shrinkage derived under Frobenius loss and its two cousins, Inverse Stein’s loss and Minimum Variance loss, called quadratic-inverse shrinkage (QIS). See Ledoit and Wolf (2022, Section 4.5).

Usage

get_cov_qis(data, k = -1)

Arguments

data

(n*p): raw data matrix of n iid observations on p random variables

k

If k < 0, then the algorithm demeans the data by default, and adjusts the effective sample size accordingly. If the user inputs k = 0, then no demeaning takes place; if user inputs k = 1, then it signifies that the data data have already been demeaned.

Value

sigmahat (p*p): the QIS covariance matrix estimate. An object of class matrix.