Estimation of the optimal shrinkage parameters as described in [1,2] and implemented
in a more general version within the SHIP package [2].
Usage
tau.estimate(x)
Arguments
x
Data set on which the covariance matrix is estimated.
Value
tau
Optimal shrinkage intensity parameter
References
[1] Schaefer J. and Strimmer K., 2005. A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics. Statist. Appl. Genet. Mol. Biol. 4:32.
[2] Jelizarow M., Guillemot V., Tenenhaus A., Strimmer K., Boulesteix A.-L., 2010. Over-optimism in bioinformatics: an illustration. Bioinformatics 26:1990-1998.