iso_eig {stcov}

Stein's isotonized eigenvalue estimates

Description

Stein's isotonized eigenvalue estimates

Usage

iso_eig(l, n)

Arguments

l

Sample eigenvalues

n

Number of observations

Value

Estimated eigenvalues

Examples

p <- 5
n <- 10
S <- rWishart(1, n, diag(p))[,,1]
l <- eigen(S)$val
iso_eig(l, n)