shrinkage: soft-thresholding function
In kevinbai92/LSvarEstimate: Low Rank Plus Sparse VAR Model Estimation

compute the soft-thresholded result for the Lasso estimator

1	shrinkage(y, tau)

`y`	input matrix
`tau`	a float number, which stands for the threshold

This function is to find soft-thresholded lasso estimator

the thresholded matrix with respect to y

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y <- matrix(stats::rnorm(20), 5, 4)
tau <- 0.5
shrinkage(y, tau)

kevinbai92/LSvarEstimate documentation built on May 8, 2020, 1:04 a.m.

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