ShrnkMatInv: ShrnkMatInv objects: precision (inverse of covariance) matrices associated with shrunken estimates of a covariance
Description
Creates a ShrnkMatInv object.
Usage
ShrnkMatInv(U, D, p, q, Intst, Trgt="Idntty")
Arguments
U
A p by q matrix with the orthonomal eigenvectors of the original (unshrunken) covariance estimate.
D
A p-dimensional vector with the eigenvalues of the original (unshrunken) covariance estimate.
p
The dimension of the covariance matrix.
q
The rank of the original (unshrunken) covariance estimate.
Intst
The target intensity used by the shunk estimator.
Trgt
The target used by the shunk estimator. If set to the string Idntty (default)
a p-dimensional matrix identity target will be assumed. Otherwise a matrix-type object representing a symmetric matrix target.
Value
An object of class ShrnkMatInv for which the generic method as.matrix (converting to a traditional numeric matrix), as well as specialized methods for matrix inversion, multiplication, and element-wise arithmetic operations, are available.