Description Usage Arguments Value References
A templete function for adaptive thresholding for covariance matrix. This method varies by how theta was defined, and what funtion form for adaptive thresholding was used.
1 | adacov(X, delta = 2, eta = 4)
|
X |
an n by p data matrix. |
delta |
a numeric value. A tuning parameter. The default value of delta is 2, and is taken from Cai and Liu (2011). Also, it can be chosen empirically through cross-validation. |
eta |
a numeric value. A shrinkage parameter. The greater value shrink sparse values more. |
Test results
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