ggm (version 2.3)

parcor: Partial correlations

Description

Finds the matrix of the partial correlations between pairs of variables given the rest.

Usage

parcor(S)

Arguments

S

a symmetric positive definite matrix, representing a covariance matrix.

Value

A symmetric matrix with ones along the diagonal and in position \((r,s)\) the partial correlation between variables \(r\) and \(s\) given all the remaining variables.

Details

The algorithm computes \(- \sigma^{rs}/(\sigma^{rr} \sigma^{ss})^{1/2}\) where the \(\sigma^{rs}\) are concentrations, i.e. elements of the inverse covariance matrix.

References

Cox, D. R. \& Wermuth, N. (1996). Multivariate dependencies. London: Chapman \& Hall.

See Also

var, cor, correlations

Examples

# NOT RUN {
### Partial correlations for the mathematics marks data
data(marks)
S <- var(marks)
parcor(S)
# }