CVTuningCov (version 1.0)

soft.thresholding: Soft-thresholding Operator on A Covariance Matrix

Description

Apply soft-thresholding operator on an input covariance matrix with a tuning parameter.

Usage

soft.thresholding(Sigma, c = 0.5)

Arguments

Sigma

a covariance matrix with dimension p*p.

c

the default value is 0.5.

Value

a p*p covariance matrix after soft-thresholding operation.

References

Rothman, A, Levina, E and Zhu, J, A new approach to Cholesky-based covariance regularization in high dimensions, Biometrika, 97, 539-550 (2010).

Examples

p <- 5;
Sigma <- AR1(p, rho=0.6);
soft.Sigma<-soft.thresholding(Sigma,c=0.5);
soft.Sigma;