Compute slice covariance matrices

Computes slice-specific covariance matrices.

Usage

slice_covariances(
  X,
  slices,
  stabilize = TRUE,
  stabilization = c("eigenfloor", "ridge", "nearest_pd"),
  eps = 1e-06
)

Arguments

X

Numeric matrix.

slices

Integer slice memberships.

stabilize

Logical. If TRUE, stabilises each slice covariance matrix.

stabilization

Stabilisation method.

eps

Eigenvalue floor.

Value

A list of covariance matrices.

Examples

X <- as.matrix(mtcars[, c("disp", "hp", "wt")])
slices <- make_slices(mtcars$mpg, nslices = 4)
covariances <- slice_covariances(X, slices)
names(covariances)
#> [1] "slice_1" "slice_2" "slice_3" "slice_4"