soft.thresholding: Soft-Thresholding Opreator on Covariance Matrix

In FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

Description

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

Usage

soft.thresholding(sigma, threshold = 0.5)

Arguments

sigma	a covariance matrix
threshold	soft-thresholding parameter

Value

a regularized covariance matrix after soft-thresholding operation

References

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

Examples

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

Example output

             ABT          LLY          MRK          PFE            F
ABT 3.849144e-03 0.0013584483 0.0015771171 0.0012528743 9.066616e-05
LLY 1.358448e-03 0.0075399355 0.0026842562 0.0026280448 9.590174e-04
MRK 1.577117e-03 0.0026842562 0.0059385731 0.0025123664 4.311434e-04
PFE 1.252874e-03 0.0026280448 0.0025123664 0.0057482756 5.487563e-04
F   9.066616e-05 0.0009590174 0.0004311434 0.0005487563 9.537283e-03
GM  0.000000e+00 0.0000000000 0.0000000000 0.0000000000 4.569539e-03
BP  0.000000e+00 0.0000000000 0.0000000000 0.0002716569 1.640963e-04
CVX 0.000000e+00 0.0000000000 0.0000000000 0.0002321979 3.332969e-04
RD  1.518583e-04 0.0000000000 0.0002783004 0.0007758486 7.114779e-04
XOM 0.000000e+00 0.0000000000 0.0000000000 0.0000000000 1.439107e-04
SP5 7.375136e-05 0.0003198411 0.0003868990 0.0005956130 1.285463e-03
              GM           BP          CVX           RD          XOM
ABT 0.000000e+00 0.0000000000 0.0000000000 1.518583e-04 0.0000000000
LLY 0.000000e+00 0.0000000000 0.0000000000 0.000000e+00 0.0000000000
MRK 0.000000e+00 0.0000000000 0.0000000000 2.783004e-04 0.0000000000
PFE 0.000000e+00 0.0002716569 0.0002321979 7.758486e-04 0.0000000000
F   4.569539e-03 0.0001640963 0.0003332969 7.114779e-04 0.0001439107
GM  8.619721e-03 0.0000000000 0.0000000000 4.592044e-07 0.0000000000
BP  0.000000e+00 0.0039703606 0.0014773996 1.604273e-03 0.0005333847
CVX 0.000000e+00 0.0014773996 0.0031370477 1.476966e-03 0.0005737838
RD  4.592044e-07 0.0016042729 0.0014769658 3.613893e-03 0.0006849126
XOM 0.000000e+00 0.0005333847 0.0005737838 6.849126e-04 0.0019121502
SP5 9.601147e-04 0.0000834797 0.0001307435 5.012010e-04 0.0000000000
             SP5
ABT 7.375136e-05
LLY 3.198411e-04
MRK 3.868990e-04
PFE 5.956130e-04
F   1.285463e-03
GM  9.601147e-04
BP  8.347970e-05
CVX 1.307435e-04
RD  5.012010e-04
XOM 0.000000e+00
SP5 1.874430e-03

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