novelist.assign: Parameter-assigned NOVELIST estimators of a...

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

Description

A series of NOVELIST estimators of a covariance/correlation matrix using a series of assigned parameters λ and δ.

Usage

novelist.assign(m, th, delta, thf = softt)

Arguments

m	a p by p sample covariance matrix.
th	a sequence of thresholding levels, for example th=seq(0,1,by=0.05).
delta	a sequence of shrinkage intensities,for example delta=seq(-0.5,1.5,by=0.05).
thf	thresholding method. Soft thresholding is used if thf=softt,hard thresholding is used if thf=hardt or any other generalized thresholding method chosen by users.

Value

cor.novel	an array of NOVELIST estimators of the correlation matrix.
cov.novel	an array of NOVELIST estimators of the covariance matrix.

See Also

novelist.assign.inv

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