poetEst {cvCovEst} | R Documentation |
poetEst()
implements the Principal Orthogonal complEment
Thresholding (POET) estimator, a nonparametric, unobserved-factor-based
estimator of the covariance matrix (Fan et al. 2013). The
estimator is defined as the sum of the sample covariance matrix'
rank-k
approximation and its post-thresholding principal orthogonal
complement. The hard thresholding function is used here, though others
could be used instead.
poetEst(dat, k, lambda)
dat |
A numeric |
k |
An |
lambda |
A non-negative |
A matrix
corresponding to the estimate of the covariance
matrix.
Fan J, Liao Y, Mincheva M (2013). “Large covariance estimation by thresholding principal orthogonal complements.” Journal of the Royal Statistical Society. Series B (Statistical Methodology), 75(4), 603–680. ISSN 13697412, 14679868, https://www.jstor.org/stable/24772450.
poetEst(dat = mtcars, k = 2L, lambda = 0.1)