View source: R/generate_sigma.R

GenerateCliquesCovariance | R Documentation |

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

.

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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