applyThreshold {VARcpDetectOnline} | R Documentation |
Apply Thresholding to VAR Coefficients
Description
Applies a thresholding rule to a coefficient matrix by setting entries below a certain threshold to zero. Two types of thresholding are available: "soft" and "hard".
Usage
applyThreshold(a_mat, nr, nc, p, type = "soft")
Arguments
a_mat |
Numeric matrix. The coefficient matrix to be thresholded. |
nr |
Integer. The number of rows in the original data. |
nc |
Integer. The number of variables (columns) in the original data. |
p |
Integer. The order of the VAR model. |
type |
Character. The type of threshold to apply; either |
Value
The thresholded coefficient matrix.
[Package VARcpDetectOnline version 0.2.0 Index]