Description Usage Arguments Details Value Examples
View source: R/cov-estim-simple.R
Computes the sample estimator of the covariance matrix.
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data |
an nxp data matrix. |
The sample estimator of the covariance matrix for a data matrix X is computed with the following formula:
\hat{Σ}=\frac{1}{n-1} ≤ft(X - \widehat{{μ}} {1} \right)' ≤ft({X} - \widehat{{μ}}{1}\right)
where μ=\bar{x}_{j}=\frac{1}{n}∑_{i=1}^{n}x_{ij} (for i=1,…, n and j=1,…,p) is the sample mean vector and 1 is an 1xp vector of ones.
a list with the following entries
a pxp estimated covariance matrix.
an estimation specific tuning parameter, here an NA.
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