renormalize_mtnorm {covsep}

renormalize a matrix normal random matrix to have iid entries

Description

renormalize a matrix normal random matrix to have iid entries

Usage

renormalize_mtnorm(X, C1, C2, type = "full")

Arguments

X

a matrix normal random matrix with mean zero

C1

row covariance

C2

column covariance

type

the type of renormalization to do. Possible options are 'no', 'diag' or 'full' (see details section).

Value

A matrix with renormalized entries

Details

type can take the values

'diag'

each entry of X is renormalized by its marginal standard deviation

'full'

X is renormalized by its root inverse covariance

Examples

Data  <-  rmtnorm(30, C1, C2)
ans  <-  renormalize_mtnorm(Data[1,,], C1, C2)