stcov (version 0.1.0)

haff_cov: Stein/Haff's covariance estimator

Description

Stein/Haff's covariance estimator

Usage

haff_cov(S, n)

Arguments

S

Sample covariance matrix

n

Number of observations

Value

• Estimated covariance matrix

References

Haff, L. R. "The Variational Form of Certain Bayes Estimators." The Annals of Statistics 19, no. 3 (1991): 1163-1190.

Lin, S.P. and Perlman, M.D.. "A Monte Carlo comparison of four estimators of a covariance matrix." Multivariate Analysis 6 (1985): 411-429.

Stein, C. "Estimation of a covariance matrix". Rietz Lecture (1975).

Examples

p <- 5
n <- 10
S <- rWishart(1, n, diag(p))[,,1]
haff_cov(S, n)