matrix_gen {heterocop} | R Documentation |
This function enables the user to generate a sparse, nonnegative definite correlation matrix via the Cholesky decomposition
matrix_gen(d, gamma)
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 |
a list containing the generated correlation matrix and its final sparsity parameter (ie the proportion of zeros)
matrix_gen(15,0.81)