hard.thresholding {CVTuningCov} | R Documentation |
Apply hard-thresholding operator on an input covariance matrix with a tuning parameter.
hard.thresholding(Sigma, c = 0.5)
Sigma |
a covariance matrix with dimension |
c |
the default value is 0.5. |
a p*p
covariance matrix after hard-thresholding operation.
Binhuan Wang
Bickel, P and Levina, E, Covariance regularization by thresholding, Annals of Statistics, 36, 2577-2604 (2008).
p <- 5; Sigma <- AR1(p, rho=0.6); hard.Sigma<-hard.thresholding(Sigma,c=0.5); hard.Sigma;