Description Usage Arguments Value References Examples
Apply tapering operator on a covariance matrix with tapering parameters.
1 |
sigma |
a p*p covariance matrix |
l |
tapering parameter |
h |
the ratio between taper l_h and parameter l |
a regularized covariance matrix after tapering operation
"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi
1 2 3 | data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
tapering(cov.SAM, l=7, h = 1/2)
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