Effective number of independent tests from a correlation matrix — n_effective_tests • rmorie

Delegates to poolr::meff when installed (poolr implements Galwey, Li-Ji, and Nyholt). Otherwise computes the chosen estimator inline.

Usage

n_effective_tests(correlation_matrix, method = c("galwey", "li_ji", "nyholt"))

Arguments

correlation_matrix: Square symmetric correlation matrix.
method: One of "galwey" (Galwey 2009), "li_ji" (Li and Ji 2005), or "nyholt" (Nyholt 2004).

Value

Effective number of tests (>= 1).

Examples

set.seed(1)
X <- matrix(rnorm(200), ncol = 5)
n_effective_tests(stats::cor(X))
#> [1] 4