matrix_gen {heterocop}R Documentation

matrix_gen

Description

This function enables the user to generate a sparse, nonnegative definite correlation matrix via the Cholesky decomposition

Usage

matrix_gen(d, gamma)

Arguments

d

the number of variables

gamma

an initial sparsity parameter for the lower triangular matrices in the Cholesky decomposition, must be between 0 and 1

Value

a list containing the generated correlation matrix and its final sparsity parameter (ie the proportion of zeros)

Examples

matrix_gen(15,0.81)


[Package heterocop version 1.0.0 Index]