# Commits

committed 6390c84

moved thresholding to a function

# functions.r

`+`
`+#' regularization_by_thresholding`
`+#' `
`+#' Regularizes a correlation matrix by thresholding`
`+#' `
`+#' @param cor_matrix A correlation matrix`
`+#' `
`+#' @param n The number of independent observations that were used to construct `
`+#' the `
`+#' `
`+#' @return The regularized correlation matrix`
`+#' `
`+#' @references`
`+#' Bickel, P. J. & Levina, E. Covariance regularization by thresholding. `
`+#' Ann. Statist. 36, 2577–2604 (2008). http://dx.doi.org/10.1214/08-AOS600 `
`+#' `
`+regularization_by_thresholding <- function ( cor_matrix, n ) {`
`+	# Regularization by thresholding`
`+	# Bickel, P. J. & Levina, E. Covariance regularization by thresholding. `
`+	# Ann. Statist. 36, 2577–2604 (2008). http://dx.doi.org/10.1214/08-AOS600`
`+	`
`+	p <- ncol( cor_matrix )`
`+	`
`+	regularized <- cor_matrix * ( abs(cor_matrix) > sqrt(log(p)/n) )`
`+	`
`+	return( regularized )`
`+}`
`+`
`+regularization_by_convex_minimization <- function (cor_matrix) {`
`+`
`+	`
`+	return( luo )`
`+}`
`+`
`+`
`+`
` test_cov_matrix <- function() {`
` 	# Builds a simple character covariance matrix for simulating data`
` 	`

# regularization.r

` `
` contrastcor <- cor.table(contrasts)\$r`
` `
`-p <- ncol( contrasts )`
` n <- nrow( contrasts )`
` `
` # Regularization by thresholding`
`-# Bickel, P. J. & Levina, E. Covariance regularization by thresholding. `
`-# Ann. Statist. 36, 2577–2604 (2008). http://dx.doi.org/10.1214/08-AOS600`
` `
`-bickel <- contrastcor * ( abs(contrastcor) > sqrt(log(p)/n) )`
`+bickel <- regularization_by_thresholding( contrastcor, n )`
` `
` # Regularization by convex Minimization`
` # Luo, X. High Dimensional Low Rank and Sparse Covariance Matrix Estimation via `
` # Convex Minimization. arXiv.org (2011). http://arxiv.org/abs/1111.1133`
` `
`+p <- ncol( contrastcor )`
` `
` re.lorec <- lorec( contrastcor, diag(1, 100), diag(1, 100), sqrt(p/n), `
` 	sqrt(log(p)/n) )`