Tapering Opreator on Covariance Matrix

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Description

Apply tapering operator on a covariance matrix with tapering parameters.

Usage

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tapering(sigma, l, h = 1/2)

Arguments

sigma

a p*p covariance matrix

l

tapering parameter

h

the ratio between taper l_h and parameter l

Value

a regularized covariance matrix after tapering operation

References

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

Examples

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data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
tapering(cov.SAM, l=7, h = 1/2)