Regularized Estimators of Covariance Matrices with CV Tuning


[Up] [Top]

Documentation for package ‘CVTuningCov’ version 1.0

Help Pages

CVTuningCov-package Select Tuning Parameters based on CV in Regularized Estimators of Covariance Matrices
AR1 Covariance Matrix with AR(1) Structure
banding A Banding Operator on A Matrix
CVTuningCov Select Tuning Parameters based on CV in Regularized Estimators of Covariance Matrices
F.norm2 The Squared Frobenius Norm
hard.thresholding Hard-thresholding Operator on A Covariance Matrix
L2.norm2 The Squared Operator Norm
random.CV Select Tuning Parameter for Regularized Covariance Matrix by Random CV
regular.CV Select Tuning Parameter for Regularized Covariance Matrix by K-fold CV
soft.thresholding Soft-thresholding Operator on A Covariance Matrix
tapering A Tapering Operator on A Matrix