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Estimate lambda shrinkage parameter

Source: R/estimate_lambda.R
estimate_lambda.Rd

Estimate lambda shrinkage parameter with specified method

Usage

estimate_lambda(
  X,
  method = c("Ledoit-Wolf", "OAS", "Touloumis", "Schafer-Strimmer")
)

Arguments

X

matrix with features as columns

method

method used to estimate lambda shrinkage parameter

Value

estimated lambda value

Examples

n <- 100
p <- 400

X <- matrix(rnorm(n*p), n, p)

estimate_lambda(X, "Ledoit-Wolf")
#> [1] 0.9750712