Provides diagnostic eigenvalue summaries for a covariance matrix.
Usage
cov_diagnostics(Sigma, tol = 1e-06)
Arguments
- Sigma
A covariance matrix.
- tol
Threshold for effective rank.
Value
A list of covariance diagnostics.
Examples
Sigma <- cov(mtcars[, c("disp", "hp", "wt")])
cov_diagnostics(Sigma)
#> $min_eigenvalue
#> [1] 0.1976047
#>
#> $max_eigenvalue
#> [1] 18609.58
#>
#> $condition_number
#> [1] 94175.83
#>
#> $effective_rank
#> [1] 3
#>
#> $eigenvalues
#> [1] 1.860958e+04 1.452843e+03 1.976047e-01
#>