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)
``` |

FinCovRegularization documentation built on May 29, 2017, 11:47 a.m.

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