This matrix can be used to get from ics
the principal axes which is then known
as principal axis analysis.
1 |
X |
numeric data matrix or dataframe. |
na.action |
a function which indicates what should happen when the data contain 'NA's. Default is to fail. |
The covAxis
matrix V is a given for a sample of size n as
p ave{[(x_i-x_bar)S^{-1}(x_i-x_bar)']^(-1) (x_i-x_bar)'(x_i-x_bar)},
where x_bar is the mean vector and S the regular covariance matrix.
covAxis
can be used to perform a Prinzipal Axis Analysis (Critchley et al. 2006) using the function ics
.
In that case for a centered data matrix X covAxis
can be used as S2 in ics
, where S1 should be in that
case the regular covariance matrix.
Matrix of the estimated scatter.
Klaus Nordhausen
Critchley , F., Pires, A. and Amado, C. (2006), Principal axis analysis, Technical Report, 06/14, The Open University Milton Keynes.
Tyler, D.E., Critchley, F., Dümbgen, L. and Oja, H. (2009), Invariant co-ordinate selecetion, Journal of the Royal Statistical Society,Series B, 71, 549–592. <doi:10.1111/j.1467-9868.2009.00706.x>.
ics
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