Banding Opreator on Covariance Matrix

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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

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