Extended version of the
FoReco::cscov
function, introducing two new approximations for the covariance matrix
(both shrunk and sample versions). Specifically, shrbe/sambe
assume no correlation between experts, while shrbv/sambv
assume no correlation between variables.
Usage
# S3 method for shrbe
cscov(comb = "shrbe", ..., n = NULL, p = NULL, matNA = NULL,
res = NULL, mse = TRUE, shrink_fun = NULL)
# S3 method for sambe
cscov(comb = "sambe", ..., n = NULL, p = NULL, matNA = NULL,
res = NULL, mse = TRUE)
# S3 method for shrbv
cscov(comb = "shrbv", ..., n = NULL, p = NULL, matNA = NULL,
res = NULL, mse = TRUE, shrink_fun = NULL)
# S3 method for sambv
cscov(comb = "sambv", ..., n = NULL, p = NULL, matNA = NULL,
res = NULL, mse = TRUE)Arguments
- comb
A string specifying the reconciliation method.
FoRecoapproaches:"ols","wls","shr","sam"."
shrbe"/"sambe" - shrunk/sample block-diagonal covariance by experts."
shrbv"/"sambv" - shrunk/sample block-diagonal covariance by variables.
- ...
Arguments passed on to
FoReco::cscov.- n
Total number of variables, \(n\).
- p
Total number of experts, \(p\).
- matNA
A (\(n \times p\)) matrix consisting of 0s and 1s, where each element indicates whether expert \(j\) (column) has provided a forecast for variable \(i\) (row). If expert \(j\) has provided a forecast for variable \(i\), the corresponding element \((i,j)\) is 1; otherwise, it is 0.
- res
A list of \(p\) numeric (\(N \times n\)) matrix containing the in-sample residuals. This input is used to compute some covariance matrices.
- mse
If
TRUE(default) the residuals used to compute the covariance matrix are not mean-corrected.- shrink_fun
Shrinkage function of the covariance matrix,
FoReco::shrink_estim(default).