General covariance stabilisation dispatcher

Stabilises a covariance matrix using one of several available methods.

Usage

stabilize_cov(
  Sigma,
  method = c("eigenfloor", "ridge", "nearest_pd"),
  eps = 1e-06,
  lambda = 1e-04,
  keep_diag = TRUE
)

Arguments

Sigma

A square symmetric covariance matrix.

method

Stabilisation method.

eps

Positive eigenvalue floor for eigenfloor method.

lambda

Ridge parameter for ridge method.

keep_diag

Logical. Used by nearest positive definite method.

Value

A stabilised covariance matrix.

Examples

Sigma <- matrix(c(1, 1, 1, 1), nrow = 2)
stabilize_cov(Sigma, method = "eigenfloor")
#>           [,1]      [,2]
#> [1,] 1.0000005 0.9999995
#> [2,] 0.9999995 1.0000005