scadEst: Smoothly Clipped Absolute Deviation Estimator

In cvCovEst: Cross-Validated Covariance Matrix Estimation

Smoothly Clipped Absolute Deviation Estimator

Description

scadEst() applies the SCAD thresholding function of \insertCitefan2001;textualcvCovEst to each entry of the sample covariance matrix. This penalized estimator constitutes a compromise between hard and soft thresholding of the sample covariance matrix: it is a linear interpolation between soft thresholding up to 2 * lambda and hard thresholding after 3.7 * lambda \insertCiterothman2009cvCovEst.

Usage

scadEst(dat, lambda)

Arguments

dat	A numeric data.frame, matrix, or similar object.
lambda	A non-negative numeric defining the degree of thresholding applied to each element of dat's sample covariance matrix.

Value

A matrix corresponding to the estimate of the covariance matrix.

References

\insertAllCited

Examples

scadEst(dat = mtcars, lambda = 0.2)

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