This function is for determining the minimum constant in the threshold that guarantees the positive definiteness of the estimator.

1 | ```
threshold.min(sigma, method = "hard")
``` |

`sigma` |
a covariance matrix |

`method` |
a character, indicating thresholding method: "soft" or "hard" |

minimum constant for thresholding

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.