add_nugget function

Adjust for nugget effect for correlations

add_nugget(x, nugget)

set_nugget(x, nugget, set_to)

Arguments

• x: A correlation matrix or 3-d array.
• nugget: A scalar nugget effect.
• set_to: A correlation matrix or 3-d array of the same dimension as x.

Returns

Correlations of the same dimension as x.

Details

To adjust spatial nugget effect, enery entry of x is first multipled by by $(1-\text{nugget})$; Then add_nugget adds nugget to the diagonals (or the diagonals of each matrix slice) of x, and set_nugget set the diagonals (or the diagonals of each matrix slice) to the corresponding diagonals of set_to.