parcor {ggm}R Documentation

Partial correlations

Description

Finds the matrix of the partial correlations between pairs of variables given the rest.

Usage

parcor(S)

Arguments

S

a symmetric positive definite matrix, representing a covariance matrix.

Details

The algorithm computes σrs/(σrrσss)1/2- \sigma^{rs}/(\sigma^{rr} \sigma^{ss})^{1/2} where the σrs\sigma^{rs} are concentrations, i.e. elements of the inverse covariance matrix.

Value

A symmetric matrix with ones along the diagonal and in position (r,s)(r,s) the partial correlation between variables rr and ss given all the remaining variables.

Author(s)

Giovanni M. Marchetti

References

Cox, D. R. & Wermuth, N. (1996). Multivariate dependencies. London: Chapman & Hall.

See Also

var, cor, correlations

Examples

### Partial correlations for the mathematics marks data
data(marks)
S <- var(marks)
parcor(S)

[Package ggm version 2.5.1 Index]