Description Usage Arguments Value Examples
GeminiB estimates the row-row covariance, inverse covariance, correlation, and inverse correlation matrices using Gemini. For identifiability, the covariance factors A and B are scaled so that A has trace m, where m is the number of columns of X, A is the column-column covariance matrix, and B is the row-row covariance matrix.
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X |
Data matrix, of dimensions n by m. |
rowpen |
Glasso penalty parameter. |
penalize.diagonal |
Logical value indicating whether to penalize the off-diagonal entries of the correlation matrix. Default is FALSE. |
corr.B.hat |
estimated correlation matrix. |
corr.B.hat.inv |
estimated inverse correlation matrix. |
B.hat |
estimated covariance matrix. |
B.hat.inv |
estimated inverse covariance matrix. |
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