bandingEst {cvCovEst}

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)