GGMncv (version 2.1.1)

ledoit_wolf: Ledoit and Wolf Shrinkage Estimator

Description

Compute the Ledoit and Wolf shrinkage estimator of the covariance matrix ledoit2004wellGGMncv, which can be used for the initial inverse covariance matrix in ggmncv.

Usage

ledoit_wolf(Y, ...)

Arguments

Y

A data matrix (or data.frame) of dimensions n by p.

...

Currently ignored.

Value

Inverse correlation matrix.

References

Examples

# NOT RUN {
# ptsd
Y <- ptsd[,1:5]

# shrinkage
ledoit_wolf(Y)

# non-reg
solve(cor(Y))
# }