cov2pcor function

Partial correlation (matrix)

cov2pcor calculates the partial correlation matrix from an (empirical) covariance matrix while conc2pcor calculates the partial correlation matrix from a concentration matrix (inverse covariance matrix).

cov2pcor(V)

conc2pcor(K)

Arguments

• V: Covariance matrix
• K: Concentration matrix

Returns

A matrix with the same dimension as V.

Examples

data(math)
S <- cov.wt(math)$cov
cov2pcor(S)

Author(s)

Søren Højsgaard, sorenh@math.aau.dk