scadThreshold: Smoothly Clipped Absolute Deviation Thresholding Function
In cvCovEst: Cross-Validated Covariance Matrix Estimation

scadThreshold

R Documentation

Smoothly Clipped Absolute Deviation Thresholding Function

Description

scadThreshold() applies the smoothly clipped absolute deviation thresholding function to the entries of a matrix. In particular, it is meant to be applied to the sample covariance matrix.

Usage

scadThreshold(entry, lambda, a)

Arguments

`entry`	A `numeric` entry in a covariance matrix estimate.
`lambda`	A non-negative `numeric` defining the degree of thresholding applied to each element of `dat`'s sample covariance matrix.
`a`	A `numeric` larger than or equal to `2` defining the point at which the SCAD thresholding functions becomes equal to the hard thresholding function.