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 numeric entry in a covariance matrix estimate.

lambda

A non-negative numeric defining the degree of thresholding applied to each element of dat's sample covariance matrix.

a

A numeric larger than or equal to 2 defining the point at which the SCAD thresholding functions becomes equal to the hard thresholding function.

Value

A regularized numeric.


[Package cvCovEst version 1.2.2 Index]