Regularized estimate of predictors covariance matrix.
msir.regularizedSigma.Rd
This function computes a regularized version of the covariance matrix of the predictors. Among the possible models the one which maximizes BIC is returned.
Usage
msir.regularizedSigma(x, inv = FALSE, model = c("XII", "XXI", "XXX"))
Arguments
- x
Ahe predictors data matrix.
- inv
A logical specifying what must be returned. If
TRUE
the inverse of the estimated covariance matrix is returned, otherwise the estimated covariance matrix (default).- model
A character string specifying the available models:
XII
: diagonal equal variancesXXI
: diagonal unequal variancesXXX
: full covariance matrix
Author
Luca Scrucca luca.scrucca@unipg.it