Kendall.correlation.estimator: Estimate the scale matrix of a semiparametric elliptical...
In benjaminfrot/lrpsadmm: Low-Rank Plus Sparse Estimation via Alternating Direction Method of Multipliers (ADMM)
Description
Usage
Arguments
Details
Value
Examples
View source: R/covariance_estimators.R
Description
Estimate the correlation matrix of a semiparametric elliptical
copula using a modified Kendall rank correlation matrix
Usage
1
Arguments
X
An n x p data matrix.
Details
Given X, an n x p data matrix, let K be its Kendall correlation matrix.
This function first computes Chat <- sin(0.5*pi*K) and projects it onto the
space of correlation matrices (in Frobenius norm) using the nearPD function
of the Matrix package
Value
A p x p correlation matrix.
Examples
1
2
3
4
5
6
set.seed(0)
# Data from a mixture semiparametric elliptical copula (Cauchy) / multivariate normal
sim.data <- generate.latent.ggm.data(n=2000, p=100, h=5, outlier.fraction = 0.05,
sparsity = 0.02, sparsity.latent = 0.7)
X <- sim.data$obs.data;
Sigma.Kendall <- Kendall.correlation.estimator(X)
benjaminfrot/lrpsadmm documentation built on Oct. 19, 2019, 8:13 a.m.
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Description Usage Arguments Details Value Examples
View source: R/covariance_estimators.R
Description
Estimate the correlation matrix of a semiparametric elliptical copula using a modified Kendall rank correlation matrix
Usage
1 |
Arguments
X |
An n x p data matrix. |
Details
Given X, an n x p data matrix, let K be its Kendall correlation matrix.
This function first computes Chat <- sin(0.5*pi*K) and projects it onto the
space of correlation matrices (in Frobenius norm) using the nearPD function
of the Matrix package
Value
A p x p correlation matrix.
Examples
1 2 3 4 5 6 | set.seed(0)
# Data from a mixture semiparametric elliptical copula (Cauchy) / multivariate normal
sim.data <- generate.latent.ggm.data(n=2000, p=100, h=5, outlier.fraction = 0.05,
sparsity = 0.02, sparsity.latent = 0.7)
X <- sim.data$obs.data;
Sigma.Kendall <- Kendall.correlation.estimator(X)
|
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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