CVTuningCov (version 1.0)

tapering: A Tapering Operator on A Matrix

Description

Generate a tapering operator with given dimention and tuning parameter. Multiplying it on a covariance matrix by componentwise product can provide a regularized estimator with the tapering method.

Usage

tapering(p, k = 1)

Arguments

p

the dimension of a covariance matrix.

k

the tuning parameter of the tapering method. The default value is 1.

Value

a p*p matrix.

References

Cai, T, Zhang, CH and Zhou, H, Optimal rates of convergence for covariance matrix estimation, Annals of Statistics, 38, 2118-2144 (2010).

Examples

p <- 5;
W <- tapering(p,k=2) ;
W;