Description Usage Arguments Value Author(s) References Examples

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

1 | ```
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).

1 2 3 4 | ```
p <- 5;
Sigma <- AR1(p, rho=0.6);
hard.Sigma<-hard.thresholding(Sigma,c=0.5);
hard.Sigma;
``` |

```
[,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 29, 2017, 9:07 p.m.

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