hard.thresholding: Hard-Thresholding Opreator on Covariance Matrix

In yanyachen/FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

Description

Apply hard-thresholding operator on a covariance matrix with a hard-thresholding parameter.

Usage

hard.thresholding(sigma, threshold = 0.5)

Arguments

sigma	a p*p covariance matrix
threshold	hard-thresholding parameter

Value

a regularized covariance matrix after hard-thresholding operation

References

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

Examples

data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
hard.thresholding(cov.SAM, threshold = 0.001)

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