Effective covariance rank

Computes the number of eigenvalues exceeding a threshold.

Usage

cov_effective_rank(Sigma, tol = 1e-06)

Arguments

Sigma

A covariance matrix.

tol

Positive threshold.

Value

Effective rank.

Examples

Sigma <- cov(mtcars[, c("disp", "hp", "wt")])
cov_effective_rank(Sigma)
#> [1] 3