simTargetCov {simTargetCov}

Data Transformation or Simulation with Target Empirical Covariance Matrix

Description

simTargetCov transforms or simulates data with a target empirical covariance matrix supplied by the user.

Usage

simTargetCov(n, p, target, X = NULL)

Arguments

n

Number of observations for data matrix output.

p

Number of variables for data matrix output.

target

Target empirical covariance for data matrix output.

X

Data matrix for transformation.

Author(s)

Anthony-Alexander Christidis, [e-mail]

Examples

# Function to create target covariance matrix with kernel set to r
target_cor <- function(r, p){
  Gamma <- diag(p)
  for(i in 1:(p-1)){
    for(j in (i+1):p){
      Gamma[i,j] <- Gamma[j,i] <- r^(abs(i-j))
    }
  }
  return(Gamma)
}

# Transformation of data to target empirical covariance
dat.target.cov <- simTargetCov(X = MASS::mvrnorm(30, mu = rep(0,6),
                               Sigma = target_cor(0.5,6)),
                               target = target_cor(0.5,6))
round(cov(dat.target.cov), 2)

# Simulation of data with target empirical covariance
sim.target.cov <- simTargetCov(n = 30, p = 6, target = target_cor(0.5,6))
round(cov(sim.target.cov), 2)