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Oracle Approximating Shrinkage covariance estimator

Source: R/covariance_estimators.R
cov_oas.Rd

Computes a simplified Oracle Approximating Shrinkage (OAS) covariance estimator for stabilising the sample covariance matrix.

Usage

cov_oas(X)

Arguments

X

Numeric matrix or data frame.

Value

A covariance matrix.

Examples

X <- as.matrix(mtcars[, c("disp", "hp", "wt")])
Sigma <- cov_oas(X)
attr(Sigma, "shrinkage")
#> [1] 0.07486667