poetEst {cvCovEst} | R Documentation |

## POET Estimator

### Description

`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.

### Usage

```
poetEst(dat, k, lambda)
```

### Arguments

`dat` |
A numeric |

`k` |
An |

`lambda` |
A non-negative |

### Value

A `matrix`

corresponding to the estimate of the covariance
matrix.

### References

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.

### Examples

```
poetEst(dat = mtcars, k = 2L, lambda = 0.1)
```

*cvCovEst*version 1.2.2 Index]