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Type: Package
Title: Stein's Covariance Estimator
Version: 0.1.0
Date: 2016-04-12
Author: Brett Naul <brettnaul@gmail.com>
Maintainer: Brett Naul <brettnaul@gmail.com>
Description: Estimates a covariance matrix using Stein's isotonized covariance estimator, or a related estimator suggested by Haff.
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
Suggests: testthat
RoxygenNote: 5.0.1
NeedsCompilation: no
Packaged: 2016-04-13 16:07:47 UTC; brettnaul
Repository: CRAN
Date/Publication: 2016-04-13 21:35:23

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)

Stein/Haff's ordered eigenvalue estimates

Description

Stein/Haff's ordered eigenvalue estimates

Usage

haff_eig(l, n)

Arguments

l

Sample eigenvalues

n

Number of observations

Value

Estimated eigenvalues

Examples

p <- 5
n <- 10
S <- rWishart(1, n, diag(p))[,,1]
l <- eigen(S)$val
haff_eig(l, n)

Stein's isotonized covariance estimator

Description

Stein's isotonized covariance estimator

Usage

iso_cov(S, n)

Arguments

S

Sample covariance matrix

n

Number of observations

Value

Estimated covariance matrix

Examples

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

Stein's isotonized eigenvalue estimates

Description

Stein's isotonized eigenvalue estimates

Usage

iso_eig(l, n)

Arguments

l

Sample eigenvalues

n

Number of observations

Value

Estimated eigenvalues

Examples

p <- 5
n <- 10
S <- rWishart(1, n, diag(p))[,,1]
l <- eigen(S)$val
iso_eig(l, n)

Stein's raw (unisotonized) eigenvalue estimates

Description

Stein's raw (unisotonized) eigenvalue estimates

Usage

stein_eig(l, n)

Arguments

l

Sample eigenvalues

n

Number of observations

Value

Estimated eigenvalues

Examples

p <- 5
n <- 10
S <- rWishart(1, n, diag(p))[,,1]
l <- eigen(S)$val
stein_eig(l, n)

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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