Description Usage Arguments Details Value Author(s) References
View source: R/generate_sigma.R
This function is included in the package so that it can be used in the
example code provided in spcov
.
1 | GenerateCliquesCovariance(ncliques, cliquesize, theta)
|
ncliques |
number of blocks |
cliquesize |
size of each block |
theta |
magnitude of non-zeros |
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.
Sigma |
the covariance matrix |
A |
symmetric square root of |
shift |
how much the eigenvalues were shifted. See details. |
Jacob Bien and Rob Tibshirani
Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," accepted for publication in Biometrika.
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