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36 cov.wml<br />
cov.wml<br />
Weighted Covari<strong>an</strong>ce Matrices (Maximum Likelihood)<br />
Description<br />
Returns a list containing estimates of the weighted covari<strong>an</strong>ce matrix <strong>an</strong>d the me<strong>an</strong> of the data, <strong>an</strong>d<br />
optionally of the (weighted) correlation matrix. The covari<strong>an</strong>ce matrix is divided by the sum of the<br />
weights, corresponding to n <strong>an</strong>d the ML-estimator in the case of equal weights, as opposed to n-1<br />
<strong>for</strong> cov.wt.<br />
Usage<br />
cov.wml(x, wt = rep(1/nrow(x), nrow(x)), cor = FALSE, center = TRUE)<br />
Arguments<br />
x<br />
wt<br />
cor<br />
center<br />
a matrix or data frame. As usual, rows are observations <strong>an</strong>d columns are variables.<br />
a non-negative <strong>an</strong>d non-zero vector of weights <strong>for</strong> each observation. Its length<br />
must equal the number of rows of x.<br />
A logical indicating whether the estimated correlation weighted matrix will be<br />
returned as well.<br />
Either a logical or a numeric vector specifying the centers to be used when<br />
computing covari<strong>an</strong>ces. If TRUE, the (weighted) me<strong>an</strong> of each variable is used,<br />
if ‘FALSE, zero is used. If center is numeric, its length must equal the number<br />
of columns of x.<br />
Value<br />
A list containing the following named components:<br />
cov<br />
the estimated (weighted) covari<strong>an</strong>ce matrix.<br />
center <strong>an</strong> estimate <strong>for</strong> the center (me<strong>an</strong>) of the data.<br />
n.obs the number of observations (rows) in x.<br />
wt<br />
the weights used in the estimation. Only returned if given as <strong>an</strong> argument.<br />
cor<br />
the estimated correlation matrix. Only returned if ‘cor’ is ‘TRUE’.<br />
Author(s)<br />
Christi<strong>an</strong> Hennig http://www.homepages.ucl.ac.uk/~ucakche/<br />
See Also<br />
cov.wt, cov, var