bandingEst: Banding Estimator

In cvCovEst: Cross-Validated Covariance Matrix Estimation

Banding Estimator

Description

bandingEst() estimates the covariance matrix of data with ordered variables by forcing off-diagonal entries to be zero for indices that are far removed from one another. The {i, j} entry of the estimated covariance matrix will be zero if the absolute value of {i - j} is greater than some non-negative constant k. This estimator was proposed by \insertCitebickel2008_banding;textualcvCovEst.

Usage

bandingEst(dat, k)

Arguments

dat	A numeric data.frame, matrix, or similar object.
k	A non-negative, numeric integer.

Value

A matrix corresponding to the estimate of the covariance matrix.

References

\insertAllCited

Examples

bandingEst(dat = mtcars, k = 2L)

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