partial_correlation_cpp: Partial correlation matrix with sample / ridge / OAS...

In matrixCorr: Collection of Correlation and Association Estimators

Partial correlation matrix with sample / ridge / OAS covariance

Description

Partial correlation matrix with sample / ridge / OAS covariance

Usage

partial_correlation_cpp(
  X_,
  method = "oas",
  lambda = 0.001,
  return_cov_precision = TRUE
)

Arguments

X_	Numeric double matrix (n x p). No NAs.
method	One of "sample", "ridge", "oas". Default "oas" (recommended for p >> n).
lambda	Ridge penalty for "ridge" method (added to diagonal). Ignored otherwise.
return_cov_precision	If TRUE, return covariance and precision matrices.

Value

A list with elements: pcor, and optionally cov, precision, method, lambda, rho (for OAS).

matrixCorr documentation built on Aug. 26, 2025, 5:07 p.m.