Partial correlations
Finds the matrix of the partial correlations between pairs of variables given the rest.
parcor(S)
S |
a symmetric positive definite matrix, representing a covariance matrix. |
The algorithm computes - σ^{rs}/(σ^{rr} σ^{ss})^{1/2} where the σ^{rs} are concentrations, i.e. elements of the inverse covariance matrix.
A symmetric matrix with ones along the diagonal and in position (r,s) the partial correlation between variables r and s given all the remaining variables.
Giovanni M. Marchetti
Cox, D. R. \& Wermuth, N. (1996). Multivariate dependencies. London: Chapman \& Hall.
### Partial correlations for the mathematics marks data data(marks) S <- var(marks) parcor(S)
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