Optimal shrinkage intensity parameters.

Estimation of the optimal shrinkage parameters as described in [1,2] and implemented in a more general version within the SHIP package [2].

tau.estimate(x)

Arguments

x	Data set on which the covariance matrix is estimated.

Value

tau

Optimal shrinkage intensity parameter

References

[1] Schaefer J. and Strimmer K., 2005. A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics. Statist. Appl. Genet. Mol. Biol. 4:32.

[2] Jelizarow M., Guillemot V., Tenenhaus A., Strimmer K., Boulesteix A.-L., 2010. Over-optimism in bioinformatics: an illustration. Bioinformatics 26:1990-1998.

Examples

n.obs <- 1e5
n.vars <- 150
x <- matrix(rnorm(n.obs * n.vars), n.obs, n.vars)
tau <- tau.estimate(x)
tau
#> [1] 0.9932624