estimateCovariance {VARcpDetectOnline} | R Documentation |
Estimate Covariance Matrix from Residuals
Description
Estimates the covariance (or variance) matrix of the residuals using shrinkage estimation.
This function utilizes corpcor::cov.shrink
for covariance estimation.
Usage
estimateCovariance(res, ...)
Arguments
res |
A numeric matrix of residuals from the VAR model. |
... |
Additional arguments passed to |
Value
A numeric covariance matrix.
[Package VARcpDetectOnline version 0.2.0 Index]