bandingEst {cvCovEst} R Documentation

## Banding Estimator

### Description

bandingEst() estimates the covariance matrix of data with ordered variables by forcing off-diagonal entries to be zero for indices that are far removed from one another. The i, j entry of the estimated covariance matrix will be zero if the absolute value of i - j is greater than some non-negative constant k. This estimator was proposed by Bickel and Levina (2008).

### Usage

bandingEst(dat, k)


### Arguments

 dat A numeric data.frame, matrix, or similar object. k A non-negative, numeric integer.

### Value

A matrix corresponding to the estimate of the covariance matrix.

### References

Bickel PJ, Levina E (2008). “Regularized estimation of large covariance matrices.” Annals of Statistics, 36(1), 199–227. doi: 10.1214/009053607000000758.

### Examples

bandingEst(dat = mtcars, k = 2L)


[Package cvCovEst version 1.1.0 Index]