whitening: This function provides an estimation of the inverse of the...

In MultiVarSel: Variable Selection in a Multivariate Linear Model

Description

This function provides an estimation of the inverse of the square root of the covariance matrix of each row of the residuals matrix.

Usage

whitening(residuals, typeDep, pAR = 1, qMA = 0)

Arguments

residuals	the residuals matrix obtained by fitting a linear model to each column of the response matrix as if they were independent
typeDep	character in c("AR1", "ARMA", "nonparam") defining which type of dependence to use
pAR	numerical, only use if typeDep = "ARMA", the parameter p for the ARMA(p, q) process
qMA	numerical, only use if typeDep = "ARMA", the parameter q for the ARMA(p, q) process

Value

It returns the estimation of the inverse of the square root of the covariance matrix of each row of the residuals matrix.

Examples

data(copals_camera)
Y <- scale(Y[, 1:100])
X <- model.matrix(~ group + 0)
residuals <- lm(as.matrix(Y) ~ X - 1)$residuals
whitening(residuals, "AR1")

MultiVarSel documentation built on May 2, 2019, 7:58 a.m.