ive: Computes the initial value estimator (IVE)

Description

This function computes the IVE estimator for large covariances in the presence of pairwise and spatial covariates from Metodiev et al. (2024).

Usage

ive(
  pairwise_covariate_matrices = NULL,
  adj_matrix = NULL,
  dataset,
  mean_estim = NULL,
  sd_estim = NULL,
  grid_size = 100,
  parallelize = FALSE,
  ncores = 8,
  adj_positions = 1:nrow(adj_matrix),
  interaction_effects = list()
)

Value

Returns a named list with the following elements:

parm, estimated parameters of pairwise, spatial effects average_effects, average effects of the covariates corrmat_estim, estimator of the correlation matrix covmat_estim, estimator of the covariance matrix

Arguments

pairwise_covariate_matrices: named list of square matrices
adj_matrix: adjacency matrix of the spatial covariate
dataset: the dataset given in matrix form
mean_estim: mean vector estimate
sd_estim: standard deviation vector estimate
grid_size: grid-size for spatial effect
parallelize: uses parallel-processing if TRUE
ncores: number of cores for the parallelization
adj_positions: positions within the adjacency matrix
interaction_effects: list of interaction effects

References

Metodiev, M., Perrot-Dockès, M., Ouadah, S., Fosdick, B. K., Robin, S., Latouche, P., & Raftery, A. E. (2024). A Structured Estimator for large Covariance Matrices in the Presence of Pairwise and Spatial Covariates. arXiv preprint arXiv:2411.04520.