thresholdingEst {cvCovEst}

Hard Thresholding Estimator

Description

thresholdingEst() computes the hard thresholding estimate of the covariance matrix for a given value of gamma. The threshold estimator of the covariance matrix applies a hard thresholding operator to each element of the sample covariance matrix. For more information on this estimator, review Bickel and Levina (2008).

Usage

thresholdingEst(dat, gamma)

Arguments

dat

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

gamma

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

Value

A matrix corresponding to the estimate of the covariance matrix.

References

Bickel PJ, Levina E (2008). “Covariance regularization by thresholding.” Annals of Statistics, 36(6), 2577–2604. doi:10.1214/08-AOS600.

Examples

thresholdingEst(dat = mtcars, gamma = 0.2)