Estimation of the correlation matrix
This function estimates the correlation matrix of the rows of a design matrix in linear models in the case where the correlation matrix has a block-wise structure.
Sigma_Estimation(X)
X |
Design matrix of the linear model considered. |
mat |
Estimation of the correlation matrix of the rows of X |
alpha |
Estimation of the coefficients of the blocks of the correlation matrix |
group_act |
Indices of the active or non active variables |
Wencan Zhu [aut, cre], Celine Levy-Leduc [ctb], Nils Ternes [ctb]
W. Zhu, C. Levy-Leduc, N. Ternes. "A variable selection approach for highly correlated predictors in high-dimensional genomic data". arXiv:2007.10768.
data(X) Sigma_Estimation(X)
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