threshold.min: Minimum threshold constant
In FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance
Description
Usage
Arguments
Value
References
Description
This function is for determining the minimum constant in the threshold
that guarantees the positive definiteness of the estimator.
Usage
1
threshold.min(sigma, method = "hard")
Arguments
sigma
a covariance matrix
method
a character, indicating thresholding method: "soft" or "hard"
Value
minimum constant for thresholding
References
"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi
FinCovRegularization documentation built on May 1, 2019, 8:48 p.m.
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Description Usage Arguments Value References
Description
This function is for determining the minimum constant in the threshold that guarantees the positive definiteness of the estimator.
Usage
1 | threshold.min(sigma, method = "hard")
|
Arguments
sigma |
a covariance matrix |
method |
a character, indicating thresholding method: "soft" or "hard" |
Value
minimum constant for thresholding
References
"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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