evaluateS {rags2ridges} | R Documentation |
Evaluate numerical properties square matrix
Description
Function that evaluates various numerical properties of a square input matrix. The intended use is to evaluate the various numerical properties of what is assumed to be a covariance matrix. Another use is to evaluate the various numerical properties of a (regularized) precision matrix.
Usage
evaluateS(S, verbose = TRUE)
Arguments
S |
Covariance or (regularized) precision |
verbose |
A |
Details
The function evaluates various numerical properties of a covariance or precision input matrix. The function assesses if the input matrix is symmetric, if all its eigenvalues are real, if all its eigenvalues are strictly positive, and if it is a diagonally dominant matrix. In addition, the function calculates the trace, the determinant, and the spectral condition number of the input matrix. See, e.g., Harville (1997) for more details on the mentioned (numerical) matrix properties.
Value
symm |
A |
realEigen |
A |
posEigen |
A |
dd |
A |
trace |
A |
det |
A |
condNumber |
A |
Author(s)
Wessel N. van Wieringen, Carel F.W. Peeters <carel.peeters@wur.nl>
References
Harville, D.A.(1997). Matrix algebra from a statistician's perspective. New York: Springer-Verlag.
See Also
Examples
## Obtain some (high-dimensional) data
p = 25
n = 10
set.seed(333)
X = matrix(rnorm(n*p), nrow = n, ncol = p)
colnames(X)[1:25] = letters[1:25]
Cx <- covML(X)
## Evaluate numerical properties covariance matrix
## Obtain, e.g., value trace
Seval <- evaluateS(Cx); Seval
Seval$trace
## Evaluate numerical properties precision matrix after regularization
P <- ridgeP(Cx, lambda = 10, type = 'Alt')
Peval <- evaluateS(P); Peval