R/thresholdingFunctions.R
scadThreshold.Rd
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.
scadThreshold(entry, lambda, a)
entry | A |
---|---|
lambda | A non-negative |
a | A |
A regularized numeric
.