block.true.cov          This function construct a covariance matrix
                        with a block diagonal structure.
est_delta               This function select the optimal thresholding
                        level delta
est_sparseCov           This function computes the thresholding sparse
                        covariance/correlation estimator with the
                        optimal threshold level.
sampleMVN               This function samples MVN based on a given
                        covariance matrix
thresh_op               This function computes the thresholding sparse
                        covariance estimator for a given threshold
                        level.
