FinCovRegularization index

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

1 |

`sigma` |
a p*p covariance matrix |

`k` |
banding parameter |

a regularized covariance matrix after banding operation

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

1 2 3 | ```
data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
banding(cov.SAM, 7)
``` |

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