threshold.min: Minimum threshold constant
In yanyachen/FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance
Description
Usage
Arguments
Value
References
View source: R/threshold.min.R
Description
This function is for determining the minimum constant in the threshold
that guarantees the positive definiteness of the estimator.
Usage
1
threshold.min(sigma, method = "hard")
Arguments
sigma
a covariance matrix
method
a character, indicating thresholding method: "soft" or "hard"
Value
minimum constant for thresholding
References
"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi
yanyachen/FinCovRegularization documentation built on May 4, 2019, 2:30 p.m.
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Description Usage Arguments Value References
View source: R/threshold.min.R
Description
This function is for determining the minimum constant in the threshold that guarantees the positive definiteness of the estimator.
Usage
1 | threshold.min(sigma, method = "hard")
|
Arguments
sigma |
a covariance matrix |
method |
a character, indicating thresholding method: "soft" or "hard" |
Value
minimum constant for thresholding
References
"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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