Cov cv

Purpose

Estimation of a regularized inverse covariance matrix.

For (x) M by N, COV_CV estimates a regularized inverse of x'*x/(M-1).

If [V,S] = svd(x'*x/(M-1)), and S = diag(S); then the regularized inverse takes the form V*diag(1./(S+alpha))*V'.

The 1 by N vector alpha is output in (results.alpha) [see options.algorithm].

Synopsis

[ccov,results] = cov_cv(x,options);

Inputs

• x = X-block class "double" or "dataset".

Optional Inputs

• options = structure array with the following fields discussed below.

Outputs

• ccov = the regularized (inverse and/or sqrt) covariance.
• results = a structure array with the following fields

Example

load nir_data
[ccov,results] = cov_cv(spec1);
axis([0 50 1e-8 1]), vline(results.ncomp), hline(results.s(1)/results.options.condmax)
title(['nir_data: 30x401 ',get(get(gca,'title'),'string')],'interpreter','none'), figfont

See Also

pls, preprocess