Stabilises a covariance matrix by adding a positive multiple of the identity matrix.
Usage
stabilize_ridge(Sigma, lambda = 1e-04)
Arguments
- Sigma
A square symmetric covariance matrix.
- lambda
Ridge stabilisation parameter.
Value
A symmetric positive definite covariance matrix.
Examples
Sigma <- matrix(c(1, 1, 1, 1), nrow = 2)
eigen(stabilize_ridge(Sigma))$values
#> [1] 2.0001 0.0001