soft.thresholding: Soft-Thresholding Opreator on Covariance Matrix
In yanyachen/FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

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

1	soft.thresholding(sigma, threshold = 0.5)

`sigma`	a covariance matrix
`threshold`	soft-thresholding parameter

a regularized covariance matrix after soft-thresholding operation

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

1
2
3

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

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

yanyachen/FinCovRegularization index

Note that we can't provide technical support on individual packages. You should contact the package authors for that.

Description