Primarily a convenience function, Clean_Sigma estimates a correlation (Sigma) matrix that may contain substantial amounts of missing data and returns it in an easily usable form for the glasso function.
Clean_Sigma(x, cor_method = "s", cor_pairing = "pair",
replace.na = TRUE)
Data used to estimate the correlation matrix.
Character indicating method used to estimate correlations. Defaults to Spearman's method. See help file for 'cor' function.
Character indicating the method used to determine how NA entries are handled. See help file for 'cor' function.
Logical. Will replace NAs with 0s if TRUE.