Hi All,

newbie question: I am interested in acquiring the value of Ledoit & Wolf's
(2003) optimal shrinkage estimate from the tawny package (or other). Having
read the paper, and then had a look at tawny, then I can derive the
shrinkage intensity (intensity.shrinkage, see below code). However, as the
value of the intensity is larger than one then I wanted to confirm whether
the L&W shrinkage parameter  is not tawny's intensity/T, where T is the
length of the time series (i.e., rows of the returns matrix). That is,
confirm whether tawny's shrinkage.intensity function returns what L&W
termed as the 'optimal constant' kappa (p611), rather than L&W's optimal
shrinkage intensity alpha.

  sample.vcov<-cov.sample(returns.zoo)
  F <- cov.prior.cc(sample.vcov)
  k <- shrinkage.intensity(returns.zoo, F, sample.vcov)
  shrunk.vcov<-cov.shrink(returns.zoo,prior.fun = cov.prior.cc)

The output from Brian's site:
http://nurometic.com/quantitative-finance/tawny/exploring-shrinkage-estimation
doesn't
seem
to hold for the latest R/tawny version. It would be nice to acquire that
information somehow, perhaps embedded in one of the shrunk objects, or at
least one or two more lines of documentation in the associated help pages
(apologies for being demanding!!). Packages fPortfolio and corpcor didn't
seem to provide any of this information either for the newbie crowd.

> S.hat <- cov.shrink(h)
Got intensity k = 146.8918 and coefficient d = 0.9792788


Regards
Rohan Sadler

-- 
Research Assistant Professor
School of Agricultural and Resource Economics, M089
The University of Western Australia
35 Stirling Highway,
Crawley, 6009

Office:  +61 8 6488 3491
Fax:     +61 8 6488 1098
Mobile:      0433 192 600

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