tapering {CVTuningCov} | R Documentation |
Generate a tapering operator with given dimention and tuning parameter. Multiplying it on a covariance matrix by componentwise product can provide a regularized estimator with the tapering method.
tapering(p, k = 1)
p |
the dimension of a covariance matrix. |
k |
the tuning parameter of the tapering method. The default value is 1. |
a p*p
matrix.
Binhuan Wang
Cai, T, Zhang, CH and Zhou, H, Optimal rates of convergence for covariance matrix estimation, Annals of Statistics, 38, 2118-2144 (2010).
p <- 5; W <- tapering(p,k=2) ; W;