Hard Thresholding Estimator

thresholdingEst() computes the hard thresholding estimate of the covariance matrix for a given value of gamma. The threshold estimator of the covariance matrix applies a hard thresholding operator to each element of the sample covariance matrix. For more information on this estimator, review Bickel and Levina (2008) .

thresholdingEst(dat, gamma)

Arguments

dat

A numeric data.frame, matrix, or similar object.

gamma

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

Value

A matrix corresponding to the estimate of the covariance matrix.

References

Bickel PJ, Levina E (2008). “Covariance regularization by thresholding.” Annals of Statistics, 36(6), 2577--2604. doi: 10.1214/08-AOS600 .

Examples

thresholdingEst(dat = mtcars, gamma = 0.2)
#>              mpg         cyl        disp          hp        drat          wt
#> mpg    36.324103  -9.1723790  -633.09721 -320.732056   2.1950635  -5.1166847
#> cyl    -9.172379   3.1895161   199.66028  101.931452  -0.6683669   1.3673710
#> disp -633.097208 199.6602823 15360.79983 6721.158669 -47.0640192 107.6842040
#> hp   -320.732056 101.9314516  6721.15867 4700.866935 -16.4511089  44.1926613
#> drat    2.195064  -0.6683669   -47.06402  -16.451109   0.2858814  -0.3727207
#> wt     -5.116685   1.3673710   107.68420   44.192661  -0.3727207   0.9573790
#> qsec    4.509149  -1.8868548   -96.05168  -86.770081   0.0000000  -0.3054816
#> vs      2.017137  -0.7298387   -44.37762  -24.987903   0.0000000  -0.2736613
#> am      1.803931  -0.4657258   -36.56401   -8.320565   0.0000000  -0.3381048
#> gear    2.135685  -0.6491935   -50.80262   -6.358871   0.2759879  -0.4210806
#> carb   -5.363105   1.5201613    79.06875   83.036290   0.0000000   0.6757903
#>             qsec          vs          am        gear       carb
#> mpg    4.5091492   2.0171371   1.8039315   2.1356855 -5.3631048
#> cyl   -1.8868548  -0.7298387  -0.4657258  -0.6491935  1.5201613
#> disp -96.0516815 -44.3776210 -36.5640121 -50.8026210 79.0687500
#> hp   -86.7700806 -24.9879032  -8.3205645  -6.3588710 83.0362903
#> drat   0.0000000   0.0000000   0.0000000   0.2759879  0.0000000
#> wt    -0.3054816  -0.2736613  -0.3381048  -0.4210806  0.6757903
#> qsec   3.1931661   0.6705645  -0.2049597  -0.2804032 -1.8941129
#> vs     0.6705645   0.2540323   0.0000000   0.0000000 -0.4637097
#> am    -0.2049597   0.0000000   0.2489919   0.2923387  0.0000000
#> gear  -0.2804032   0.0000000   0.2923387   0.5443548  0.3266129
#> carb  -1.8941129  -0.4637097   0.0000000   0.3266129  2.6088710