I want to generate a valid variance-covariance matrix. One way could be to
generate some random sample from multivariate normal distribution and then
calculate cov. matrix. Another way could be to sample from wishart distribution
itself. However both cases need a valid i.e. PD covariance
Megh
corr.matrix() in the 'emulator' package can calculate
P-D variance matrices using any of a very broad
class of methods.
HTH
rksh
Megh Dal wrote:
I want to generate a valid variance-covariance matrix. One way could be to
generate some random sample from multivariate normal
]
Subject: Re: [R] Generating a valid covariance matrix
Megh
corr.matrix() in the 'emulator' package can calculate
P-D variance matrices using any of a very broad
class of methods.
HTH
rksh
Megh Dal wrote:
I want to generate a valid variance-covariance matrix. One way could
be to generate some
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