WLasso (version 1.0)

Sigma_Estimation: Estimation of the correlation matrix

Description

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.

Usage

Sigma_Estimation(X)

Arguments

X

Design matrix of the linear model considered.

Value

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

%% ...

References

W. Zhu, C. Levy-Leduc, N. Ternes. "A variable selection approach for highly correlated predictors in high-dimensional genomic data". arXiv:2007.10768.

Examples

# NOT RUN {
data(X)
Sigma_Estimation(X)
# }