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 |
lambda |
A non-negative |
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)