soft.thresholding: Soft-thresholding Operator on A Covariance Matrix

In CVTuningCov: Regularized Estimators of Covariance Matrices with CV Tuning

Description

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

Usage

soft.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 soft-thresholding operation.

Author(s)

Binhuan Wang

References

Rothman, A, Levina, E and Zhu, J, A new approach to Cholesky-based covariance regularization in high dimensions, Biometrika, 97, 539-550 (2010).

Examples

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

Example output

     [,1] [,2] [,3] [,4] [,5]
[1,]  0.5  0.1  0.0  0.0  0.0
[2,]  0.1  0.5  0.1  0.0  0.0
[3,]  0.0  0.1  0.5  0.1  0.0
[4,]  0.0  0.0  0.1  0.5  0.1
[5,]  0.0  0.0  0.0  0.1  0.5

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