covNPD: NPD estimator for *covariance* based on Qn

In robustcov: Collection of Robust Covariance and (Sparse) Precision Matrix Estimators

Description

This routine calculates the NPD estimator for *covariance* based on Qn

Usage

covNPD(data, eigenTol = 1e-06, convTol = 1e-07, psdTol = 1e-08, maxit = 1000L)

Arguments

data	the n by p raw data matrix
eigenTol	tolerance in eigen system, used in finding nearest positive matrix
convTol	tolerance in cov, used in finding nearest positive matrix
psdTol	tolerance in psd, used in finding nearest positive matrix
maxit	max iterations in finding nearest positive matrix

Value

a matrix with dimension p by p, NPD estimator

Examples

covNPD(matrix(rnorm(500),100,5)) 

robustcov documentation built on Aug. 4, 2021, 5:07 p.m.