[R] Efficient computation of average covariance matrix over a list
Rick DeShon
deshon at msu.edu
Mon Dec 3 22:02:30 CET 2007
Hi All.
I would like to compute a separate covariance matrix for a set of
variables for each of the levels of a factor and then compute the
average covariance matrix over the factor levels. I can loop through
this computation but I need to perform the calculation for a large
number of levels and am looking for something more elegant. To be
concrete....
u <- 3
n <- 10
x <- rnorm((id*u))
y <- rnorm((id*u))
z <- rnorm((id*u))
id <- gl(u,n)
df <- data.frame(id,x,y,z)
df.s <- split(xxx,id)
lcov <- lapply(df.s,cov)
lcov
What's an efficient way to compute the average covariance matrix over
the list members in "lcov"?
Thanks in advance,
Rick DeShon
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