adaptiveLassoThreshold {cvCovEst}R Documentation

Adaptive LASSO Thresholding Function

Description

adaptiveLassoThreshold() applies the adaptive LASSO thresholding function to the entries of a matrix. In particular, it is meant to be applied to sample covariance matrix

Usage

adaptiveLassoThreshold(entry, lambda, n)

Arguments

entry

A numeric entry in a covariance matrix estimate.

lambda

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

n

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

Value

A regularized numeric.


[Package cvCovEst version 1.2.2 Index]