Haff Shrinkage Precision Estimator

Haff_shrinkage(x, ...)

Arguments

x

data matrix

...

other options (currently unused)

Value

Haff shrinkage precision estimator

Details

Given a matrix of observations, this function will calculate the Haff Shrinkage Estimator of the sample precision matrix, as discussed in Haff (1979). Because this estimator relies on the existence of the sample precision matrix (and relatedly, a strictly positive covariance determinant), this estimator is ill-suited for high-dimensional cases (\(N < p\)).

Examples

Haff_shrinkage(as.matrix(iris[-5]))
#> Sepal.Length Sepal.Width Petal.Length Petal.Width #> Sepal.Length 1462.2325 -950.2355 -1035.3471 812.4760 #> Sepal.Width -950.2355 1567.5041 917.3115 -873.4804 #> Petal.Length -1035.3471 917.3115 1422.1717 -2054.3881 #> Petal.Width 812.4760 -873.4804 -2054.3881 3922.1784