haff_cov {stcov} | R Documentation |
Stein/Haff's covariance estimator
Description
Stein/Haff's covariance estimator
Usage
haff_cov(S, n)
Arguments
S |
Sample covariance matrix |
n |
Number of observations |
Value
Estimated covariance matrix
References
Haff, L. R. "The Variational Form of Certain Bayes Estimators." The Annals of Statistics 19, no. 3 (1991): 1163-1190.
Lin, S.P. and Perlman, M.D.. "A Monte Carlo comparison of four estimators of a covariance matrix." Multivariate Analysis 6 (1985): 411-429.
Stein, C. "Estimation of a covariance matrix". Rietz Lecture (1975).
Examples
p <- 5
n <- 10
S <- rWishart(1, n, diag(p))[,,1]
haff_cov(S, n)
[Package stcov version 0.1.0 Index]