bandingEst {cvCovEst} | R Documentation |
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).
bandingEst(dat, k)
dat |
A numeric |
k |
A non-negative, |
A matrix
corresponding to the estimate of the covariance
matrix.
Bickel PJ, Levina E (2008). “Regularized estimation of large covariance matrices.” Annals of Statistics, 36(1), 199–227. doi: 10.1214/009053607000000758, https://doi.org/10.1214/009053607000000758.
bandingEst(dat = mtcars, k = 2L)