This function generates a p \times p intraclass covariance matrix with
rho. The variance
sigma2 is constant for each
feature and defaulted to 1.
cov_intraclass(p, rho, sigma2 = 1)
the size of the covariance matrix
the value of the off-diagonal elements
the variance of each feature
The intraclass covariance matrix is defined as:
σ^2 * (ρ * J_p + (1 - ρ) * I_p),
where J_p is the p \times p matrix of ones and I_p is the p \times p identity matrix.
By default, with
sigma2 = 1, the diagonal elements of the intraclass
covariance matrix are all 1, while the off-diagonal elements of the matrix
The value of
rho must be between 1 / (1 - p) and 1,
exclusively, to ensure that the covariance matrix is positive definite.
intraclass covariance matrix
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