est_sparseCov {sparseCov}

This function computes the thresholding sparse covariance/correlation estimator with the optimal threshold level.

Description

This function computes the thresholding sparse covariance/correlation estimator with the optimal threshold level.

Usage

est_sparseCov(
  data,
  method = c("cv", "qiu"),
  operator = c("hard", "soft", "scad", "al"),
  corr = TRUE
)

Arguments

data

The data matrix.

method

The choice of method to select the optimal threshold level.

operator

The choice of the thresholding operator.

corr

The indicator of computing correlation or covariance matrix.

Value

The thresholding sparse covariance/correlation estimator.

Examples

## generate data from a block diagonal covariance matrix structure
n <- 50
p <- 30
data.true.cov <- block.true.cov(p)
data <- sampleMVN(n, data.true.cov, sparse=TRUE)
## compute the thresholding sparse covariance/correlation estimator
s <- est_sparseCov(data, method='cv', operator='scad', corr=FALSE)