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]