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.
tapering(p, k = 1)
the dimension of a covariance matrix.
the tuning parameter of the tapering method. The default value is 1.
Cai, T, Zhang, CH and Zhou, H, Optimal rates of convergence for covariance matrix estimation, Annals of Statistics, 38, 2118-2144 (2010).
1 2 3
p <- 5; W <- tapering(p,k=2) ; W;
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