adaptiveLassoThreshold: Adaptive LASSO Thresholding Function

In cvCovEst: Cross-Validated Covariance Matrix Estimation

Adaptive LASSO Thresholding Function

Description

adaptiveLassoThreshold() applies the adaptive LASSO thresholding function to the entries of a matrix. In particular, it is meant to be applied to sample covariance matrix

Usage

adaptiveLassoThreshold(entry, lambda, n)

Arguments

entry	A numeric entry in a covariance matrix estimate.
lambda	A non-negative numeric defining the amount of thresholding applied to each element of dat's sample covariance matrix.
n	A non-negative numeric defining the adaptive weight applied to each element of dat's sample covariance matrix.

Value

A regularized numeric.

cvCovEst documentation built on May 29, 2024, 5:51 a.m.