scadEst {cvCovEst}R Documentation

Smoothly Clipped Absolute Deviation Estimator

Description

scadEst() applies the SCAD thresholding function of Fan and Li (2001) to each entry of the sample covariance matrix. This penalized estimator constitutes a compromise between hard and soft thresholding of the sample covariance matrix: it is a linear interpolation between soft thresholding up to 2 * lambda and hard thresholding after 3.7 * lambda (Rothman et al. 2009).

Usage

scadEst(dat, lambda)

Arguments

dat

A numeric data.frame, matrix, or similar object.

lambda

A non-negative numeric defining the degree of thresholding applied to each element of dat's sample covariance matrix.

Value

A matrix corresponding to the estimate of the covariance matrix.

References

Fan J, Li R (2001). “Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties.” Journal of the American Statistical Association, 96(456), 1348–1360. doi: 10.1198/016214501753382273, https://doi.org/10.1198/016214501753382273.

Rothman AJ, Levina E, Zhu J (2009). “Generalized Thresholding of Large Covariance Matrices.” Journal of the American Statistical Association, 104(485), 177–186. doi: 10.1198/jasa.2009.0101, https://doi.org/10.1198/jasa.2009.0101.

Examples

scadEst(dat = mtcars, lambda = 0.2)

[Package cvCovEst version 0.3.5 Index]