renormalize_mtnorm: renormalize a matrix normal random matrix to have iid entries

In covsep: Tests for Determining if the Covariance Structure of 2-Dimensional Data is Separable

Description

renormalize a matrix normal random matrix to have iid entries

Usage

renormalize_mtnorm(X, C1, C2, type = "full")

Arguments

X	a matrix normal random matrix with mean zero
C1	row covariance
C2	column covariance
type	the type of renormalization to do. Possible options are 'no', 'diag' or 'full' (see details section).

Value

A matrix with renormalized entries

Details

type can take the values

'diag'

each entry of X is renormalized by its marginal standard deviation

'full'

X is renormalized by its root inverse covariance

Examples

Data  <-  rmtnorm(30, C1, C2)
ans  <-  renormalize_mtnorm(Data[1,,], C1, C2)

covsep documentation built on May 2, 2019, 11:12 a.m.