ICS (version 1.4-1)

covOrigin: Covariance Matrix with Respect to the Origin

Description

Estimates the covariance matrix with respect to the origin.

Usage

covOrigin(X, location = NULL, na.action = na.fail)

Value

A matrix containing the estimated covariance matrix with respect to the origin.

Arguments

X

a numeric data matrix or dataframe.

location

optional location value which serves as the center instead of the origin.

na.action

a function which indicates what should happen when the data contain 'NA's. Default is to fail.

Author

Klaus Nordhausen

Details

The covariance matrix \(S_{0}\) with respect to origin is given for a matrix X with n observations by $$S_{0}= \frac{1}{n}X'X.$$

See Also

cov

Examples

set.seed(654321)
cov.matrix <- matrix(c(3,2,1,2,4,-0.5,1,-0.5,2), ncol=3)
X <- rmvnorm(100,c(0,0,0),cov.matrix)
covOrigin(X)
rm(.Random.seed)