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Shrinkage of the covariance matrix

Source: R/fun_export.R
shrink_estim.Rd

Shrinkage of the covariance matrix according to Schäfer and Strimmer (2005).

Usage

shrink_estim(x, mse = TRUE)

Arguments

x

A numeric matrix containing the in-sample residuals or validation errors.

mse

If TRUE (default), the residuals used to compute the covariance matrix are not mean-corrected.

Value

A shrunk covariance matrix.

References

Schäfer, J.L. and Strimmer, K. (2005), A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics, Statistical Applications in Genetics and Molecular Biology, 4, 1. doi:10.2202/1544-6115.1175

See also

Utilities: FoReco2matrix(), aggts(), as_ctmatrix(), as_tevector(), balance_hierarchy(), commat(), csprojmat(), cstools(), ctprojmat(), cttools(), df2aggmat(), lcmat(), recoinfo(), res2matrix(), set_bounds(), shrink_oasd(), teprojmat(), tetools(), unbalance_hierarchy()