| Library: | stats |
| See also: | draftman factor FluryStepUp pca CPCprop CPCp CPCFGalg Jacobirot |
| Quantlet: | CPC | |
| Description: | CPC computes the common eigenmatrix, eigenvalues, corresponding standard errors and estimated population covariance matrices from sample covariances of k groups using maximum likelihood |
| Usage: | {B, betaerror, lambda, lambdaerror, psi}=CPC(A,N) | |
| Input: | ||
| A | p x p x k array of k covariances | |
| N | k x 1 vector of weights, usually number of observations in group k | |
| Output: | ||
| B | p x p matrix, common orthogonal transformation matrix | |
| betaerror | p x p matrix, standard errors of B | |
| lambda | p x k matrix, p eigenvalues of each group k | |
| lambdaerror | p x k matrix, p standard errors of eigenvalues of each group k | |
| psi | p x p x k array of k estimated population covariance matrices | |
library("stats")
;Input of grouped Covariances
covar1=#(112.01, 106.64, 52.97)~#(106.64,108.13,54.75)~#(52.97,54.75,33.86)
covar2=#(86.08,81.66,40.24)~#(81.66,85.54,42.08)~#(40.24,42.08,26.66)
covar3=#(65.4,60.23,24.69)~#(60.23,62.27,23.47)~#(24.69,23.47,16.33)
covar4=#(88.66,79.11,41.32)~#(79.11,80.57,38.81)~#(41.32,38.81,23.97)
covar=reshape(covar1~covar2~covar3~covar4,#(3,3,4))
;Sample size
n=#(173,141,88,76)
ZZ=CPC(covar,n)
ZZ
Contents of ZZ.B [1,] 0.67313 -0.50601 -0.5393 [2,] 0.66163 0.086287 0.74485 [3,] 0.33037 0.8582 -0.39288 Contents of ZZ.betaerror [1,] 0.0052839 0.032571 0.030367 [2,] 0.0044646 0.044656 0.0064556 [3,] 0.0075119 0.023535 0.051096 Contents of ZZ.lambda ... Contents of ZZ.lambdaerror ... Contents of ZZ.psi ...