rlogDet: Regularized log determinant

In GabrielHoffman/mvIC: Multivariate Information Criteria to identify important predictors in high dimensional multivariate regression

Regularized log determinant

Description

Regularized log determinant for low rank matrix

Usage

rlogDet(X, shrink.method = c("var_equal", "var_unequal", "none"), ...)

Arguments

X	data matrix
shrink.method	Shrink covariance estimates to be positive definite. Using "var_equal" assumes all variance on the diagonal are equal. This method is the fastest because it is linear time. Using "var_unequal" allows each response to have its own variance term, however this method is quadratic time. Using "none" does not apply shrinkge, but is only valid when there are very few responses
...	additional arguments passed to adjusted_eigen_values

GabrielHoffman/mvIC documentation built on Aug. 30, 2022, 7:58 p.m.