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Hello All, I have posted to this list before regarding the same issue so I apologize for the multiple e-mails. I am still struggling with this issue so I thought I'd give it another try. This time I have included reproducible code and a subset of the data I am analyzing. I am running an ANOVA with three factors: GROUP (5 levels), FEATURE (2 levels), and PATIENT (2 levels), where

...ction using the "shrinkEstimator" as template. I will use the shrunk estimation of the covariance matrix with my own set of predicted returns. My code is below. Many thanks, Darius ----------------------------------------------------------------------- b=ts(ret.forecast[1,]) mu.pred=b myEstimator=function(x) { stopifnot(inherits(x, "timeSeries")) x.mat = x mu = mu.pred Sigma = .cov.shrink(x = x.mat, verbose = FALSE, ...) attr(Sigma, "lambda.var") <- NULL attr(Sigma, "lambda.var.estimated") <- NULL list(mu = mu, Sigma = Sigma)...