hard.thresholding {FinCovRegularization}

Hard-Thresholding Opreator on Covariance Matrix

Description

Apply hard-thresholding operator on a covariance matrix with a hard-thresholding parameter.

Usage

hard.thresholding(sigma, threshold = 0.5)

Arguments

sigma

a p*p covariance matrix

threshold

hard-thresholding parameter

Value

a regularized covariance matrix after hard-thresholding operation

References

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

Examples

data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
hard.thresholding(cov.SAM, threshold = 0.001)