novelist.assign.inv:
Parameter-assigned NOVELIST estimators of inverse of a corvariance/correlation matrix
Description
A series of NOVELIST estimators of inverse of a covariance/correlation matrix by a series of assigned parameters $\lambda$ and $\delta$.
Usage
novelist.assign.inv(m, th, delta, thf = softt)
Arguments
m
a $p$ by $p$ sample covariance matrix.
th
a sequence of thresholding levels, for example th=seq(0,1,by=0.05).
delta
a sequence of shrinkage intensities, for example delta=seq(-0.5,1.5,by=0.05).
thf
thresholding method. Soft thresholding is used if thf=softt, hard thresholding is used if thf=hardt or any other generalized thresholding method chosen by users.
Value
inv.cov.novel
an array of NOVELIST estimators of the inverse of the covariance matrix.
inv.cor.novel
an array of NOVELIST estimators of the inverse of the correlation matrix.