parcor | R Documentation |
Finds the matrix of the partial correlations between pairs of variables given the rest.
parcor(S)
S |
a symmetric positive definite matrix, representing a covariance matrix. |
The algorithm computes - \sigma^{rs}/(\sigma^{rr}
\sigma^{ss})^{1/2}
where the \sigma^{rs}
are concentrations,
i.e. elements of the inverse covariance matrix.
A symmetric matrix with ones along the diagonal and in position
(r,s)
the partial correlation between variables r
and s
given all the remaining variables.
Giovanni M. Marchetti
Cox, D. R. & Wermuth, N. (1996). Multivariate dependencies. London: Chapman & Hall.
var
, cor
, correlations
### Partial correlations for the mathematics marks data
data(marks)
S <- var(marks)
parcor(S)
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