decorrelate (version 0.1.6.4)

getCov: Get full covariance/correlation matrix from eclairs

Description

Get full covariance/correlation matrix from eclairs decomposition

Usage

getCov(ecl, lambda, ...)
getCor(ecl, lambda, ...)
# S4 method for eclairs
getCov(ecl, lambda, ...)
# S4 method for eclairs
getCor(ecl, lambda, ...)

Value

p x p covariance/correlation matrix

Arguments

ecl

eclairs decomposition

lambda

shrinkage parameter for the convex combination.

...

other arguments

Details

The full matrix is computationally expensive to compute and uses a lot of memory for large p. So it is better to use decorrelate or mult_eclairs to perform projections in \(O(np)\) time.

Examples

library(Rfast)

n <- 800 # number of samples
p <- 200 # number of features

# create correlation matrix
Sigma <- autocorr.mat(p, .9)

# draw data from correlation matrix Sigma
Y <- rmvnorm(n, rep(0, p), sigma = Sigma * 5.1, seed = 1)
rownames(Y) <- paste0("sample_", seq(n))
colnames(Y) <- paste0("gene_", seq(p))

# eclairs decomposition
ecl <- eclairs(Y)

# extract covariance implied by eclairs decomposition
getCov(ecl)[1:3, 1:3]