thresh_op {sparseCov}

This function computes the thresholding sparse covariance estimator for a given threshold level.

Description

This function computes the thresholding sparse covariance estimator for a given threshold level.

Usage

thresh_op(z, operator, delta, n)

Arguments

z

The sample covariance matrix.

operator

The choice of the thresholding operator.

delta

The thresholding level.

n

The sample size of data matrix.

Value

The thresholding sparse covariance estimator for a given threshold level.

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 sample covariance
z <- Rfast::cova(data) *(n-1)/n
## get the sparse covariance matrix estimator for a given threshold level
s <- thresh_op(z, operator='soft', delta=1, n=n)
s[1:9,1:9]