ledoit_wolf {GGMncv} | R Documentation |
Compute the Ledoit and Wolf shrinkage estimator of
the covariance matrix (Ledoit and Wolf 2004),
which can be used for the initial
inverse covariance matrix
in ggmncv
.
ledoit_wolf(Y, ...)
Y |
A data matrix (or data.frame) of dimensions n by p. |
... |
Currently ignored. |
Inverse correlation matrix.
Ledoit O, Wolf M (2004). “A well-conditioned estimator for large-dimensional covariance matrices.” Journal of Multivariate Analysis, 88(2), 365–411.
# ptsd
Y <- ptsd[,1:5]
# shrinkage
ledoit_wolf(Y)
# non-reg
solve(cor(Y))