Description Usage Arguments Value Author(s) References Examples
Apply soft-thresholding operator on an input covariance matrix with a tuning parameter.
1 | soft.thresholding(Sigma, c = 0.5)
|
Sigma |
a covariance matrix with dimension |
c |
the default value is 0.5. |
a p*p
covariance matrix after soft-thresholding operation.
Binhuan Wang
Rothman, A, Levina, E and Zhu, J, A new approach to Cholesky-based covariance regularization in high dimensions, Biometrika, 97, 539-550 (2010).
1 2 3 4 | p <- 5;
Sigma <- AR1(p, rho=0.6);
soft.Sigma<-soft.thresholding(Sigma,c=0.5);
soft.Sigma;
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