Description Usage Arguments Value References
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
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.