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 |

`k` |
A non-negative, |

### 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 1.2.2 Index]