banding {CVTuningCov}R Documentation

A Banding Operator on A Matrix

Description

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.

Usage

banding(p, k = 1)

Arguments

p

the dimension of a covariance matrix.

k

the default value is 1.

Value

a p*p matrix.

Author(s)

Binhuan Wang

References

Bickel, P and Levina, E, Regularized estimation of large covariance matrices, Annals of Statistics, 36, 199-227 (2008).

Examples

p <- 5;
W <- banding(p,k=2) ;
W;

[Package CVTuningCov version 1.0 Index]