Select Tuning Parameter for Thresholding Covariance Matrix by...

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

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