Generate a block diagonal covariance matrix

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Description

This function is included in the package so that it can be used in the example code provided in spcov.

Usage

1
GenerateCliquesCovariance(ncliques, cliquesize, theta)

Arguments

ncliques

number of blocks

cliquesize

size of each block

theta

magnitude of non-zeros

Details

This function generates a block diagonal positive definite matrix with randomly-signed, non-zero elements. A shift is added to the diagonal of the matrix so that its condition number equals p, the number of variables.

Value

Sigma

the covariance matrix

A

symmetric square root of Sigma

shift

how much the eigenvalues were shifted. See details.

Author(s)

Jacob Bien and Rob Tibshirani

References

Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," accepted for publication in Biometrika.