condreg {CondReg}R Documentation

Compute the condition number with given penalty parameter

Description

Compute the condition number with given penalty parameter

Usage

condreg(data_in, kmax)

Arguments

data_in

input data

kmax

scalar regularization parameter

Value

list of condition number regularized covariance matrix s and its inverse invS.

Examples

## True covariance matrix
sigma <- diag(5)
sigma[3,2] <- sigma[2,3] <- 0.8

## Generate normal random samples
## Not run: 
library(MASS)
X <- mvrnorm(200,rep(0,5),sigma)

## Covariance estimation
crcov <- condreg(X,3)

## Inspect output
str(crcov)              ## returned object
sigma.hat <- crcov$S    ## estimate of sigma matrix
omega.hat <- crcov$invS ## estimate of inverse of sigma matrix

## End(Not run)

[Package CondReg version 0.20 Index]