GGMncv (version 2.1.1)

coef.ggmncv: Regression Coefficients from ggmncv Objects

Description

There is a direct correspondence between the inverse covariance matrix and multiple regression stephens1998,kwan2014regressionGGMncv. This readily allows for converting the off diagonal elements to regression coefficients, resulting in noncovex penalization for multiple regression modeling.

Usage

# S3 method for ggmncv
coef(object, ...)

Arguments

object

An Object of class ggmncv.

...

Currently ignored.

Value

A matrix of regression coefficients.

References

Examples

# NOT RUN {
# }
# NOT RUN {
# data
Y <- GGMncv::ptsd[,1:5]

# correlations
S <- cor(Y)

# fit model
fit <- ggmncv(R = S, n = nrow(Y), progress = FALSE)

# regression
coefs <- coef(fit)

coefs


# no regularization, resulting in OLS

# data
# note: scaled for lm()
Y <- scale(GGMncv::ptsd[,1:5])

# correlations
S <- cor(Y)

# fit model
# note: non reg
fit <- ggmncv(R = S, n = nrow(Y), progress = FALSE, lambda = 0)

# regression
coefs <- coef(fit)

# fit lm
fit_lm <- lm(Y[,1] ~ 0 + Y[,-1])

# ggmncv
coefs[1,]

# lm
as.numeric(coef(fit_lm))

# }
# NOT RUN {
# }