Converts a covariance matrix to a correlation matrix and then identifies variables which should be dropped due to high dependence.
threshold which signifies two variables are highly dependent and one should be omitted. Specifically, when a group of variables are highly dependent, only the first variable is kept and all others are dropped. Defaults to 0.9999.
Intended to be a helper function for flagging highly dependent variables which cause the covariance matrix to be singular or near singular; and hence, non-invertible.
remove_vars locations of variables to be dropped.
remove_length number of variables to be dropped.
remove_text a message detailing an action taken by the covariance check wrapper function
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