banding {CVTuningCov} | R Documentation |
Generate a banding operator with given dimention and tuning parameter. Multiplying it on a covariance matrix by componentwise product can provide a regularized estimator with the banding method.
banding(p, k = 1)
p |
the dimension of a covariance matrix. |
k |
the default value is 1. |
a p*p
matrix.
Binhuan Wang
Bickel, P and Levina, E, Regularized estimation of large covariance matrices, Annals of Statistics, 36, 199-227 (2008).
p <- 5; W <- banding(p,k=2) ; W;