tapering: A Tapering Operator on A Matrix

Description Usage Arguments Value Author(s) References Examples

View source: R/functions.R

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

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p <- 5;
W <- tapering(p,k=2) ;
W;

CVTuningCov documentation built on May 29, 2017, 9:07 p.m.