banding: Banding Opreator on Covariance Matrix
In yanyachen/FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

Apply banding operator on a covariance matrix with a banding parameter.

1	banding(sigma, k = 0)

`sigma`	a p*p covariance matrix
`k`	banding parameter

a regularized covariance matrix after banding operation

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

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data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
banding(cov.SAM, 7)

yanyachen/FinCovRegularization documentation built on May 4, 2019, 2:30 p.m.

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