Computes the spectral condition number of a covariance matrix.
Usage
cov_condition_number(Sigma, eps = 1e-12)
Arguments
- Sigma
A covariance matrix.
- eps
Small positive value used to avoid division by zero.
Value
Numeric condition number.
Examples
Sigma <- cov(mtcars[, c("disp", "hp", "wt")])
cov_condition_number(Sigma)
#> [1] 94175.83