Searched refs:M2sh (Results 1 – 3 of 3) sorted by relevance
526 M2sh <- (1 - lambda) * M2 + lambda * T2[, 1] # compute shrinkage estimator functionVar532 …M2sh <- (1 - sum(lambda)) * M2 # initialize estimator at percenta…534 M2sh <- M2sh + lambda[tt] * T2[, tt] # add the target matrices538 return (list("M2sh" = M2sh, "lambda" = lambda, "A" = A, "b" = b))
74 sigma <- M2.shrink(edhec, targets, f)$M2sh
4743 > sigma <- M2.shrink(edhec, targets, f)$M2sh