PhilBoileau / cvCovEst

An R package for assumption-lean covariance matrix estimation in high dimensions
https://philboileau.github.io/cvCovEst/
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Matrix metrics #62

Closed bcollica closed 2 years ago

bcollica commented 3 years ago

This PR adds functionality for computing additional summary metrics for estimators including the condition number, sign (PD, PSD, etc.), and the sparsity. The main additions consist of two new functions in summary_functions.R along with minor updates and changes to other existing functions and tests. The vignette has also been updated with a brief description of the new metrics.

Currently, the only supported plotting functionality for the new metrics is in the table of the best in class estimators displayed when cvSummaryPlot is called. An additional PR is planned for updating some of the plotting functions, so I figured it would make the most sense to add functions for plotting the condition number (and possibly the sparsity) at that time.