Thanks for these replies. @Peter - are these methods only suitable for pearson covariances? That would def explain my issues. Sorry for my ignorance, but I would highly appreciate an explanation. My original covariance matrix is calculated using spearman as well (which is suitable for the data). @Michael - I am simulating a sample size of 20351* 8368 so I do not think that the sample size is the issue here.
2012/8/12 peter dalgaard <pda...@gmail.com>: > > On Aug 11, 2012, at 16:17 , Boel Brynedal wrote: > >> cov8=cov(sample8,method='spearman') > > There's your problem. I'm surprised that nobody seems to have picked up on > this, but Spearman covariances are of the ranks, not of the data. Try > method="pearson". > > -- > Peter Dalgaard, Professor, > Center for Statistics, Copenhagen Business School > Solbjerg Plads 3, 2000 Frederiksberg, Denmark > Phone: (+45)38153501 > Email: pd....@cbs.dk Priv: pda...@gmail.com > > > > > > > > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
