threshold.min {FinCovRegularization} | R Documentation |
Minimum threshold constant
Description
This function is for determining the minimum constant in the threshold that guarantees the positive definiteness of the estimator.
Usage
threshold.min(sigma, method = "hard")
Arguments
sigma |
a covariance matrix |
method |
a character, indicating thresholding method: "soft" or "hard" |
Value
minimum constant for thresholding
References
"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi
[Package FinCovRegularization version 1.1.0 Index]