thresholdingEst: Hard Thresholding Estimator

In cvCovEst: Cross-Validated Covariance Matrix Estimation

Hard Thresholding Estimator

Description

thresholdingEst() computes the hard thresholding estimate of the covariance matrix for a given value of gamma. The threshold estimator of the covariance matrix applies a hard thresholding operator to each element of the sample covariance matrix. For more information on this estimator, review \insertCiteBickel2008_thresh;textualcvCovEst.

Usage

thresholdingEst(dat, gamma)

Arguments

dat	A numeric data.frame, matrix, or similar object.
gamma	A non-negative numeric defining the degree of hard 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

thresholdingEst(dat = mtcars, gamma = 0.2)

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