soft.thresholding {FinCovRegularization}

Soft-Thresholding Opreator on Covariance Matrix

Description

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

Usage

soft.thresholding(sigma, threshold = 0.5)

Arguments

sigma

a covariance matrix

threshold

soft-thresholding parameter

Value

a regularized covariance matrix after soft-thresholding operation

References

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

Examples

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