tapering: Tapering Opreator on Covariance Matrix

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

Description

Apply tapering operator on a covariance matrix with tapering parameters.

Usage

tapering(sigma, l, h = 1/2)

Arguments

sigma	a p*p covariance matrix
l	tapering parameter
h	the ratio between taper l_h and parameter l

Value

a regularized covariance matrix after tapering operation

References

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

Examples

data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
tapering(cov.SAM, l=7, h = 1/2)

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