hard.thresholding: Hard-thresholding Operator on A Covariance Matrix

In CVTuningCov: Regularized Estimators of Covariance Matrices with CV Tuning

Description

Apply hard-thresholding operator on an input covariance matrix with a tuning parameter.

Usage

hard.thresholding(Sigma, c = 0.5)

Arguments

Sigma	a covariance matrix with dimension p*p.
c	the default value is 0.5.

Value

a p*p covariance matrix after hard-thresholding operation.

Author(s)

Binhuan Wang

References

Bickel, P and Levina, E, Covariance regularization by thresholding, Annals of Statistics, 36, 2577-2604 (2008).

Examples

p <- 5;
Sigma <- AR1(p, rho=0.6);
hard.Sigma<-hard.thresholding(Sigma,c=0.5);
hard.Sigma;

Example output

     [,1] [,2] [,3] [,4] [,5]
[1,]  1.0  0.6  0.0  0.0  0.0
[2,]  0.6  1.0  0.6  0.0  0.0
[3,]  0.0  0.6  1.0  0.6  0.0
[4,]  0.0  0.0  0.6  1.0  0.6
[5,]  0.0  0.0  0.0  0.6  1.0

CVTuningCov documentation built on May 2, 2019, 7:23 a.m.