hard.thresholding: Hard-Thresholding Opreator on Covariance Matrix

In FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

Description

Apply hard-thresholding operator on a covariance matrix with a hard-thresholding parameter.

Usage

hard.thresholding(sigma, threshold = 0.5)

Arguments

sigma	a p*p covariance matrix
threshold	hard-thresholding parameter

Value

a regularized covariance matrix after hard-thresholding operation

References

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

Examples

data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
hard.thresholding(cov.SAM, threshold = 0.001)

Example output

            ABT         LLY         MRK         PFE           F          GM
ABT 0.003849144 0.002358448 0.002577117 0.002252874 0.001090666 0.000000000
LLY 0.002358448 0.007539936 0.003684256 0.003628045 0.001959017 0.000000000
MRK 0.002577117 0.003684256 0.005938573 0.003512366 0.001431143 0.000000000
PFE 0.002252874 0.003628045 0.003512366 0.005748276 0.001548756 0.000000000
F   0.001090666 0.001959017 0.001431143 0.001548756 0.009537283 0.005569539
GM  0.000000000 0.000000000 0.000000000 0.000000000 0.005569539 0.008619721
BP  0.000000000 0.000000000 0.000000000 0.001271657 0.001164096 0.000000000
CVX 0.000000000 0.000000000 0.000000000 0.001232198 0.001333297 0.000000000
RD  0.001151858 0.000000000 0.001278300 0.001775849 0.001711478 0.001000459
XOM 0.000000000 0.000000000 0.000000000 0.000000000 0.001143911 0.000000000
SP5 0.001073751 0.001319841 0.001386899 0.001595613 0.002285463 0.001960115
             BP         CVX          RD         XOM         SP5
ABT 0.000000000 0.000000000 0.001151858 0.000000000 0.001073751
LLY 0.000000000 0.000000000 0.000000000 0.000000000 0.001319841
MRK 0.000000000 0.000000000 0.001278300 0.000000000 0.001386899
PFE 0.001271657 0.001232198 0.001775849 0.000000000 0.001595613
F   0.001164096 0.001333297 0.001711478 0.001143911 0.002285463
GM  0.000000000 0.000000000 0.001000459 0.000000000 0.001960115
BP  0.003970361 0.002477400 0.002604273 0.001533385 0.001083480
CVX 0.002477400 0.003137048 0.002476966 0.001573784 0.001130743
RD  0.002604273 0.002476966 0.003613893 0.001684913 0.001501201
XOM 0.001533385 0.001573784 0.001684913 0.001912150 0.000000000
SP5 0.001083480 0.001130743 0.001501201 0.000000000 0.001874430

FinCovRegularization documentation built on May 1, 2019, 8:48 p.m.