applyThreshold: Apply Thresholding to VAR Coefficients

In VARcpDetectOnline: Sequential Change Point Detection for High-Dimensional VAR Models

Apply Thresholding to VAR Coefficients

Description

Applies a thresholding rule to a coefficient matrix by setting entries below a certain threshold to zero. Two types of thresholding are available: "soft" and "hard".

Usage

applyThreshold(a_mat, nr, nc, p, type = "soft")

Arguments

a_mat	Numeric matrix. The coefficient matrix to be thresholded.
nr	Integer. The number of rows in the original data.
nc	Integer. The number of variables (columns) in the original data.
p	Integer. The order of the VAR model.
type	Character. The type of threshold to apply; either "soft" (default) or "hard".

Value

The thresholded coefficient matrix.

VARcpDetectOnline documentation built on April 12, 2025, 1:44 a.m.