Minimum threshold constant

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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