bifactor2cor_v2

Bi-factor partial correlations to correlation matrix, determinant, inverse

Inference methods for factor copula models for continuous data in Krupskii and Joe (2013) <doi:10.1016/j.jmva.2013.05.001>, Krupskii and Joe (2015) <doi:10.1016/j.jmva.2014.11.002>, Fan and Joe (2024) <doi:10.1016/j.jmva.2023.105263>, one factor truncated vine models in Joe (2018) <doi:10.1002/cjs.11481>, and Gaussian oblique factor models. Functions for computing tail-weighted dependence measures in Lee, Joe and Krupskii (2018) <doi:10.1080/10485252.2017.1407414> and estimating tail dependence parameter.

Pavel Krupskii

FactorCopulaModel

Factor Copula Models

Harry Joe

Xinyao Fan

Allan Macleod

Robert Gentleman

Ross Ihaka

bifactor2cor_v2 function

<dl><dt>grsize</dt>
<dd>vector with group sizes: d_1,d_2,...,d_G for G groups</dd><dt>rh1</dt>
<dd>vector of length sum(grsize) of correlation with global latent variable, ordered by group index</dd><dt>rh2</dt>
<dd>vector of length sum(grsize) of partial correlation with group latent variable given global</dd></dl>

Arguments

Bi-factor partial correlations to correlation matrix  version 2, using the inverse and determinant of a smaller matrix — bifactor2cor_v2

<dl>

<dt>grsize</dt>
<dd>vector with group sizes: d_1,d_2,...,d_G for G groups</dd>

<dt>rh1</dt>
<dd>vector of length sum(grsize) of correlation with global latent variable, ordered by group index</dd>

<dt>rh2</dt>
<dd>vector of length sum(grsize) of partial correlation with group latent variable given global</dd>

</dl>

bifactor2cor_v2: Bi-factor partial correlations to correlation matrix version 2, using the inverse and determinant of a smaller matrix

Description

Usage

Value

Arguments

Examples