parcor function

Partial correlations

Finds the matrix of the partial correlations between pairs of variables given the rest.

parcor(S)

Arguments

• S: a symmetric positive definite matrix, representing a covariance matrix.

Details

The algorithm computes c("$- \\sigma^{rs}/(\\sigma^{rr}\n$", "$\\sigma^{ss})^{1/2}$") where the $\sigma^{rs}$ are concentrations, i.e. elements of the inverse covariance matrix.

Returns

A symmetric matrix with ones along the diagonal and in position $(r,s)$ the partial correlation between variables $r$

and $s$ given all the remaining variables.

References

Cox, D. R. & Wermuth, N. (1996). Multivariate dependencies. London: Chapman & Hall.

Author(s)

Giovanni M. Marchetti

See Also

var, cor, correlations

Examples

## for the mathematics marks data
data(marks)
S <- var(marks)
parcor(S)