mclust (version 5.0.2)

covw: Weighted means, covariance and scattering matrices conditioning on a weighted matrix.

Description

Compute efficiently (via Fortran code) the means, covariance and scattering matrices conditioning on a weighted or indicator matrix

Usage

covw(X, Z, normalize = TRUE)

Arguments

X

A $(n x p)$ data matrix, with $n$ observations on $p$ variables.

Z

A $(n x G)$ matrix of weights, with $G$ number of groups.

normalize

A logical indicating if rows of Z should be normalized to sum to one.

Value

• A list with the following components:
• mean
  A $(p x G)$ matrix of weighted means.
• S
  A $(p x p x G)$ array of weighted covariance matrices.
• W
  A $(p x p x G)$ array of weighted scattering matrices.

Examples

# Z as an indicator matrix
X = iris[,1:4]
Z = unmap(iris$Species)
str(covw(X, Z))
# Z as a matrix of weights
mod = Mclust(X, G = 3, modelNames = "VVV")
str(covw(X, mod$z))