Computes a numerically stable inverse of a covariance matrix
Usage
safe_cov_inverse(X, ridge = 1e-08, max_ridge_steps = 6)
Arguments
- X
The n x p design matrix
- ridge
Initial ridge penalty added to the diagonal
- max_ridge_steps
Maximum number of ridge escalation attempts
Value
The inverse covariance matrix
Examples
if (FALSE) { # \dontrun{
X = matrix(rnorm(20), nrow = 10)
Sinv = safe_cov_inverse(X)
dim(Sinv)
} # }
