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

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

Description

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

Usage

novelist.assign.inv(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

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

See Also

novelist.assign

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