man/examples/estimateR_ex.R

In mixedCCA: Sparse Canonical Correlation Analysis for High-Dimensional Mixed Data

### Data setting
n <- 100; p1 <- 15; p2 <- 10 # sample size and dimensions for two datasets.
maxcancor <- 0.9 # true canonical correlation

### Correlation structure within each data set
set.seed(0)
perm1 <- sample(1:p1, size = p1);
Sigma1 <- autocor(p1, 0.7)[perm1, perm1]
blockind <- sample(1:3, size = p2, replace = TRUE);
Sigma2 <- blockcor(blockind, 0.7)
mu <- rbinom(p1+p2, 1, 0.5)

### true variable indices for each dataset
trueidx1 <- c(rep(1, 3), rep(0, p1-3))
trueidx2 <- c(rep(1, 2), rep(0, p2-2))

### Data generation
simdata <- GenerateData(n=n, trueidx1 = trueidx1, trueidx2 = trueidx2, maxcancor = maxcancor,
                        Sigma1 = Sigma1, Sigma2 = Sigma2,
                        copula1 = "exp", copula2 = "cube",
                        muZ = mu,
                        type1 = "trunc", type2 = "continuous",
                        c1 = rep(1, p1), c2 =  rep(0, p2)
)
X1 <- simdata$X1
X2 <- simdata$X2

### Check the range of truncation levels of variables
range(colMeans(X1 == 0))
range(colMeans(X2 == 0))

### Estimate latent correlation matrix
# with original method
R1_org <- estimateR(X1, type = "trunc", method = "original")$R
# with faster approximation method
R1_approx <- estimateR(X1, type = "trunc", method = "approx")$R
R12_approx <- estimateR_mixed(X1, X2, type1 = "trunc", type2 = "continuous", method = "approx")$R12