filterCovariance: Compute the BAHC covariance matrix.

In bahc: Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz

Description

Compute the BAHC covariance matrix.

Usage

filterCovariance(x, k = 1, Nboot = 100)

Arguments

x	A matrix: x_{i,f} is feature f of object i
k	The order of filtering. k=1 corresponds to BAHC.
Nboot	The number of bootstrap copies

Value

The BAHC-filtered correlation matrix of x.

Examples

r=matrix(rnorm(1000),nrow=20)   # 20 objects, 50 features each
sigma=exp(runif(20))
rs=t(sigma %*% r) %*% sigma
Cov_bahc=filterCovariance(rs)

bahc documentation built on Oct. 23, 2020, 8:22 p.m.