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Ledoit-Wolf type covariance estimator

Source: R/covariance_estimators.R
cov_lw.Rd

Computes a practical Ledoit-Wolf type shrinkage estimator toward a scaled identity target.

Usage

cov_lw(X)

Arguments

X

Numeric matrix or data frame.

Value

A covariance matrix.

Examples

X <- as.matrix(mtcars[, c("disp", "hp", "wt")])
Sigma <- cov_lw(X)
attr(Sigma, "shrinkage")
#> [1] 0.04804693