R/shrinkPSD.R

In acichonska/metaCCA: Summary Statistics-Based Multivariate Meta-Analysis of Genome-Wide Association Studies Using Canonical Correlation Analysis

# This function shrinks the full covariance matrix until it becomes PSD,
# and returns building blocks of the resulting shrunken full covariance
# matrix: C_XX, C_XY, C_YY.


shrinkPSD <- function(R, n) {

    # Eigenvalues of the full covariance matrix
    lambdas = eigen(R)$values


    while ( min(lambdas) < 0 ) {

        R 		    = 0.999*R	  # shrinkage
        diag(R) 	= 1			  # setting diagonal elements to 1

        lambdas 	= eigen(R)$values
    }


    C_XX_shr  =  R[1:n,  1:n]
    C_YY_shr  =  R[(n+1):dim(R)[1],  (n+1):dim(R)[1]]
    C_XY_shr  =  R[1:n,  (n+1):dim(R)[1]]


    return( list(C_XX_shr, C_YY_shr, C_XY_shr) )
}