Apply hard-thresholding operator on an input covariance matrix with a tuning parameter.
a covariance matrix with dimension
the default value is 0.5.
p*p covariance matrix after hard-thresholding operation.
Bickel, P and Levina, E, Covariance regularization by thresholding, Annals of Statistics, 36, 2577-2604 (2008).
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