rags2ridges (version 1.1)

pcor: Compute partial correlation matrix or standardized precision matrix

Description

Function computing the partial correlation matrix or standardized precision matrix from an input precision matrix.

Usage

pcor(P, pc = TRUE)

Arguments

P

(Possibly regularized) precision matrix.

pc

A logical indicating if the partial correlation matrix should be computed.

Value

• A partial correlation matrix or a standardized precision matrix.

Details

The function assumes that the input matrix is a precision matrix. If pc = FALSE the standardized precision matrix, rather than the partial correlation matrix, is given as the output value.

See Also

ridgeS

Examples

## Obtain some (high-dimensional) data
p = 25
n = 10
set.seed(333)
X = matrix(rnorm(n*p), nrow = n, ncol = p)
colnames(X)[1:25] = letters[1:25]
Cx <- cov(X)

## Obtain regularized precision matrix
P <- ridgeS(Cx, lambda = 10, type = "Alt")

## Obtain partial correlation matrix
pcor(symm(P))