tapering: A Tapering Operator on A Matrix
In CVTuningCov: Regularized Estimators of Covariance Matrices with CV Tuning
Description
Usage
Arguments
Value
Author(s)
References
Examples
Description
Generate a tapering operator with given dimention and tuning parameter. Multiplying
it on a covariance matrix by componentwise product can provide a regularized estimator
with the tapering method.
Usage
1
tapering(p, k = 1)
Arguments
p
the dimension of a covariance matrix.
k
the tuning parameter of the tapering method. The default value is 1.
Value
a p*p matrix.
Author(s)
Binhuan Wang
References
Cai, T, Zhang, CH and Zhou, H, Optimal rates of convergence for covariance
matrix estimation, Annals of Statistics, 38, 2118-2144 (2010).
Examples
1
2
3
p <- 5;
W <- tapering(p,k=2) ;
W;
CVTuningCov documentation built on May 2, 2019, 7:23 a.m.
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Description Usage Arguments Value Author(s) References Examples
Description
Generate a tapering operator with given dimention and tuning parameter. Multiplying it on a covariance matrix by componentwise product can provide a regularized estimator with the tapering method.
Usage
1 | tapering(p, k = 1)
|
Arguments
p |
the dimension of a covariance matrix. |
k |
the tuning parameter of the tapering method. The default value is 1. |
Value
a p*p matrix.
Author(s)
Binhuan Wang
References
Cai, T, Zhang, CH and Zhou, H, Optimal rates of convergence for covariance matrix estimation, Annals of Statistics, 38, 2118-2144 (2010).
Examples
1 2 3 | p <- 5;
W <- tapering(p,k=2) ;
W;
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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