novelist (version 1.0)

hardt: Hard thresholding estimator of covariance/correlation matrix

Description

Obtain a series of hard thresholding estimators of a covariance/correlation matrix by applying a series of thresholdings.

Usage

hardt(m, th, Cor = TRUE)

Arguments

m

a $p$ by$ p$ sample covaraince matrix.

th

a series of thresholding levels, for example th=seq(0,1,by=0.05).

Cor

apply hard thresholding on sample covariance matrix if Cor=FALSE; apply hard thresholding on sample correlation matrix if Cor=TRUE.

Value

An array of covariance/correlation matrix estimators after regularized by a series of thresholding levels.

See Also

softt