hardt: Hard thresholding estimator of covariance/correlation matrix

In novelist: NOVEL Integration of the Sample and Thresholded (NOVELIST) Correlation and Covariance Estimators

Description

Obtain a series of hard thresholding estimators of a covariance/correlation matrix by applying a series of thresholdings.

Usage

hardt(m, th, Cor = TRUE)

Arguments

m	a p by p sample covaraince matrix.
th	a series of thresholding levels, for example th=seq(0,1,by=0.05).
Cor	apply hard thresholding on sample covariance matrix if Cor=FALSE; apply hard thresholding on sample correlation matrix if Cor=TRUE.

Value

An array of covariance/correlation matrix estimators after regularized by a series of thresholding levels.

See Also

softt

novelist documentation built on May 30, 2017, 6:49 a.m.