banding {FinCovRegularization}

Banding Opreator on Covariance Matrix

Description

Apply banding operator on a covariance matrix with a banding parameter.

Usage

banding(sigma, k = 0)

Arguments

sigma

a p*p covariance matrix

k

banding parameter

Value

a regularized covariance matrix after banding operation

References

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

Examples

data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
banding(cov.SAM, 7)