FinCovRegularization (version 1.0.0)

banding.cv: Select Tuning Parameter for Banding Covariance Matrix by CV

Description

Apply K-fold cross-validation for selecting tuning parameters for banding covariance matrix using grid search strategy

Usage

banding.cv(matrix, n.cv = 10, norm = "F", seed = 142857)

Arguments

matrix

a N*p matrix, N indicates sample size and p indicates the dimension

n.cv

times that cross-validation repeated, the default number is 10

norm

the norms used to measure the cross-validation errors, which can be the Frobenius norm "F" or the operator norm "O"

seed

random seed, the default value is 142857

Value

• An object of class "CovCv" containing the cross-validation's result for covariance matrix regularization, including:
• regularization
  regularization method, which is "Banding"
• parameter.opt
  selected optimal parameter by cross-validation
• cv.error
  the corresponding cross-validation errors
• n.cv
  times that cross-validation repeated
• norm
  the norm used to measure the cross-validation error
• seed
  random seed

Details

For cross-validation, this function split the sample randomly into two pieces of size n1 = n-n/log(n) and n2 = n/log(n), and repeat this k times

References

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

Examples

data(m.excess.c10sp9003)
retcov.cv <- banding.cv(m.excess.c10sp9003, n.cv = 10,
                        norm = "F", seed = 142857)
summary(retcov.cv)
plot(retcov.cv)
# Low dimension