This function is included in the package so that it can be used in the
example code provided in spcov.
GenerateCliquesCovariance(ncliques, cliquesize, theta)the covariance matrix
symmetric square root
of Sigma
how much the eigenvalues were shifted. See details.
number of blocks
size of each block
magnitude of non-zeros
Jacob Bien and Rob Tibshirani
This function generates a block diagonal positive definite matrix with
randomly-signed, non-zero elements. A shift is added to the diagonal of the
matrix so that its condition number equals p, the number of
variables.
Bien, J., and Tibshirani, R. (2011), "Sparse Estimation of a Covariance Matrix," accepted for publication in Biometrika.