Sparse Covariance Estimation Based on Thresholding
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Documentation for package ‘sparseCov’ version 0.0.1
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| block.true.cov | This function construct a covariance matrix with a block diagonal structure. |
| est_delta | This function select the optimal thresholding level delta |
| est_sparseCov | This function computes the thresholding sparse covariance/correlation estimator with the optimal threshold level. |
| sampleMVN | This function samples MVN based on a given covariance matrix |
| thresh_op | This function computes the thresholding sparse covariance estimator for a given threshold level. |