covNPD {robustcov}

NPD estimator for *covariance* based on Qn

Description

This routine calculates the NPD estimator for *covariance* based on Qn

Usage

covNPD(data, eigenTol = 1e-06, convTol = 1e-07, psdTol = 1e-08, maxit = 1000L)

Arguments

data

the n by p raw data matrix

eigenTol

tolerance in eigen system, used in finding nearest positive matrix

convTol

tolerance in cov, used in finding nearest positive matrix

psdTol

tolerance in psd, used in finding nearest positive matrix

maxit

max iterations in finding nearest positive matrix

Value

a matrix with dimension p by p, NPD estimator

Examples

covNPD(matrix(rnorm(500),100,5))