ledoit_wolf function

Ledoit and Wolf Shrinkage Estimator

Compute the Ledoit and Wolf shrinkage estimator of the covariance matrix if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="ledoit2004well",package="GGMncv",cached_env=.Rdpack.currefs) , which can be used for the initial inverse covariance matrix in ggmncv.

ledoit_wolf(Y, ...)

Arguments

• Y: A data matrix (or data.frame) of dimensions n by p.
• ...: Currently ignored.

Returns

Inverse correlation matrix.

Examples

# ptsd
Y <- ptsd[,1:5]

# shrinkage
ledoit_wolf(Y)

# non-reg
solve(cor(Y))

References

if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_all_ref(.Rdpack.currefs)