iso_cov {stcov}

Stein's isotonized covariance estimator

Description

Stein's isotonized covariance estimator

Usage

iso_cov(S, n)

Arguments

S

Sample covariance matrix

n

Number of observations

Value

Estimated covariance matrix

Examples

p <- 5
n <- 10
S <- rWishart(1, n, diag(p))[,,1]
iso_cov(S, n)