shrink_oasd {FoReco} | R Documentation |
Shrinkage of the covariance matrix using the Oracle approximation
Description
Shrinkage of the covariance matrix according to the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) and Ando and Xiao (2023).
Usage
shrink_oasd(x, mse = TRUE)
Arguments
x |
A numeric matrix containing the in-sample residuals. |
mse |
If |
Value
A shrunk covariance matrix.
References
Ando, S., and Xiao, M. (2023), High-dimensional covariance matrix estimation: shrinkage toward a diagonal target. IMF Working Papers, 2023(257), A001.
Chen, Y., Wiesel, A., and Hero, A. O. (2009), Shrinkage estimation of high dimensional covariance matrices, 2009 IEEE international conference on acoustics, speech and signal processing, 2937–2940. IEEE.
See Also
Utilities:
FoReco2matrix()
,
aggts()
,
balance_hierarchy()
,
commat()
,
csprojmat()
,
cstools()
,
ctprojmat()
,
cttools()
,
df2aggmat()
,
lcmat()
,
recoinfo()
,
res2matrix()
,
set_bounds()
,
shrink_estim()
,
teprojmat()
,
tetools()
,
unbalance_hierarchy()