Ridge-type covariance estimator

Computes a convex shrinkage covariance estimator of the form $$\Sigma_{\lambda} = (1 - \lambda)S + \lambda T,$$ where \(S\) is the sample covariance matrix and \(T\) is a scaled identity target.

Usage

cov_ridge(X, lambda = 0.1)

Arguments

X

Numeric matrix or data frame.

lambda

Shrinkage intensity in \([0,1]\).

Value

A covariance matrix.

Examples

X <- as.matrix(mtcars[, c("disp", "hp", "wt")])
cov_ridge(X, lambda = 0.2)
#>             disp         hp         wt
#> disp 13626.14814 5376.92694   86.14736
#> hp    5376.92694 5098.20182   35.35413
#> wt      86.14736   35.35413 1338.27418