Description Usage Arguments Value Author(s) References
View source: R/geometric_mean.R
This function allows to compute the geometric mean of the given sample covariance matrices.
1 | geometric_mean(scm_list, eps=1/3)
|
scm_list |
a list of numeric sample covariance matrices. |
eps |
parameter in [0,1] that controls the convergence speed. Higher eps values lead to a faster convergence, but the more close to 1 it is, the more irrealistic the underlining hypothesis are (eps=1 indicates data without ANY noise). |
It returns a list containing the geometric mean.
Laura Masiero, email: laura.masiero.10@gmail.com
The algorithm used to compute the geometric mean can be found here: Moakher, Maher (2005). "A differential geometric approach to the geometric mean of symmetric positive-definite matrices". In: SIAM Journal on Ma- trix Analysis and Applications 26.3, pp. 735–747. issn: 08954798. doi: 10.1137/S0895479803436937.
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