GenerateCliquesCovariance {spcov} | R Documentation |
Generate a block diagonal covariance matrix
Description
This function is included in the package so that it can be used in the
example code provided in spcov
.
Usage
GenerateCliquesCovariance(ncliques, cliquesize, theta)
Arguments
ncliques |
number of blocks |
cliquesize |
size of each block |
theta |
magnitude of non-zeros |
Details
This function generates a block diagonal positive definite matrix with
randomly-signed, non-zero elements. A shift is added to the diagonal of the
matrix so that its condition number equals p
, the number of
variables.
Value
Sigma |
the covariance matrix |
A |
symmetric square root
of |
shift |
how much the eigenvalues were shifted. See details. |
Author(s)
Jacob Bien and Rob Tibshirani
References
Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," accepted for publication in Biometrika.
[Package spcov version 1.3 Index]