icov: Extract estimated inverse covariance

In mombf: Model Selection with Bayesian Methods and Information Criteria

Extract estimated inverse covariance

Description

Extract the estimated inverse covariance from an msfit_ggm object.

Bayesian model averaging is used, optionally entries with posterior probability of being non-zero below a threshold are set to 0.

Usage

icov(fit, threshold) 

Arguments

fit	Object of class msfit_ggm, returned by modelSelectionGGM
threshold	Entries with posterior probability of being non-zero below threshold are set to 0. If missing this argument is ignored and no entries are set to exact zeroes. When the goal is to identify zeroes, a sensible default is threshold=0.95

Details

The inverse covariance is obtained via Bayesian model averaging, using posterior samples of Omega. When threshold is specified, entries in the BMA estimate are set to zero, which may result in a non positive-definite matrix.

Value

Estimated inverse covariance matrix.

Author(s)

David Rossell

See Also

modelSelectionGGM, coef.msfit_ggm for Bayesian model averaging estimates and intervals.

Examples

## See modelSelectionGGM

mombf documentation built on May 29, 2024, 11:01 a.m.