banding: Banding Opreator on Covariance Matrix

Description Usage Arguments Value References Examples

View source: R/banding.R

Description

Apply banding operator on a covariance matrix with a banding parameter.

Usage

1
banding(sigma, k = 0)

Arguments

sigma

a p*p covariance matrix

k

banding parameter

Value

a regularized covariance matrix after banding operation

References

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

Examples

1
2
3

FinCovRegularization documentation built on May 29, 2017, 11:47 a.m.