scadThreshold {cvCovEst} | R Documentation |
Smoothly Clipped Absolute Deviation Thresholding Function
Description
scadThreshold()
applies the smoothly clipped absolute
deviation thresholding function to the entries of a matrix
.
In particular, it is meant to be applied to the sample covariance matrix.
Usage
scadThreshold(entry, lambda, a)
Arguments
entry |
A |
lambda |
A non-negative |
a |
A |
Value
A regularized numeric
.
[Package cvCovEst version 1.2.2 Index]