gammacap: Asymptotic Covariance Matrix

In jeksterslab/gammaMatrix: Asymptotic Covariance Matrix of Covariances

Description

Calculates the covariance matrix of the unique elements of the covariance matrix.

Usage

gammacap(
  x,
  type = "mvn",
  sigmacap = NULL,
  unbiased = TRUE,
  bcap = 1000L,
  seed = NULL,
  missing = FALSE,
  ml_cov = TRUE,
  names = TRUE,
  sep = "."
)

Arguments

x	Numeric matrix, data frame, or vector.
type	Character string. If type = "adf", calculate asymptotic distribution-free covariance matrix. If type = "adfnb", calculate nonparametric bootstrapped asymptotic distribution-free covariance matrix. If type = "gen", calculate covariance matrix using the general formula. If type = "mvn", calculate covariance matrix with multivariate normal data. If type = "mvnadj1", calculate covariance matrix with adjustment variant 1. If type = "mvnadj2", calculate covariance matrix with adjustment variant 2. If type = "nb", calculate covariance matrix from nonparametric bootstrapped covariances.
sigmacap	Numeric matrix. The argument is used when type = "mvn". Optional argument. Sample covariance matrix.
unbiased	Logical. The argument is used when type = "adf". If unbiased = TRUE, returns unbiased asymptotic distribution-free covariance matrix. If unbiased = FALSE, returns consistent asymptotic distribution-free covariance matrix.
bcap	Integer. The argument is used when type = "adfnb" or type = "nb". Number of bootstrap samples.
seed	Integer. The argument is used when type = "adfnb" or type = "nb". Random number generation seed.
missing	Logical. The argument is used when type = "mvnadj2". If missing = TRUE, the mean vector and the covariance matrix will be estimated using the EM algorithm. If missing = FALSE, all missing values will be dropped and the mean vector and covariance matrix will be estimated using x.
ml_cov	Logical. The argument is used when type = "mvnadj2". If missing = FALSE and ml_cov = TRUE, use maximum likelihood estimator of the covariance matrix.
names	Logical. Add names.
sep	Character string. Separator for variable names.

Value

A matrix.

Author(s)

Ivan Jacob Agaloos Pesigan

See Also

Other Gamma Matrix Functions: gammacap_adfnb(), gammacap_adf(), gammacap_gen(), gammacap_mvnadj1(), gammacap_mvnadj2(), gammacap_mvn(), gammacap_nb(), gammacap_ols_generic(), gammacap_ols_hc_generic(), gammacap_ols_hc_qcap_generic(), gammacap_ols_hc_qcap(), gammacap_ols_hc(), gammacap_ols(), gammacapnames()

Examples

set.seed(42)
n <- 1000
k <- 2
q <- chol(
  matrix(
    data = c(1.0, 0.5, 0.5, 1.0),
    nrow = k, ncol = k
  )
)
z <- matrix(
  data = rnorm(n = n * k), nrow = n, ncol = k
)
x <- z %*% q

gammacap(x, type = "adf")
gammacap(x, type = "adfnb")
gammacap(x, type = "gen")
gammacap(x, type = "mvn")
gammacap(x, type = "mvnadj1")
gammacap(x, type = "mvnadj2")
gammacap(x, type = "nb")
gammacap(sigmacap = cov(x), type = "mvn")

jeksterslab/gammaMatrix documentation built on Dec. 20, 2021, 10:10 p.m.